Little secret, if you REALLY want to be scared, there's a well in Holyrood Park that's creepy even during the day. It may not be the best place to hang round at night, however - there have been some problems with intravenous drug users and male prostitution in that area in the past at night.
Apparently, Mckenzie's ghost attacks people his vault in Greyfriar's Kirkyard, BUT two teens went into it a couple of years back and played catch w/his skull and otherwise violated his corpse - they made headlines b/c they were the first to be charged with 'violating a sepulchre' in 150 years - and made off unscathed, so he can't be that bad! What's really creepy is that tens of thousands of people have been laid to rest there over the past 900 years, including many plague victims in mass graves, and there are loads of tenements built right over old parts of the burial ground.
Personally I find Candlemaker Row an eerie place, too, for some reason.