Given this is Oscar Wilde (whom I do rather adore, admittedly), I have absolutely no idea why I thought this would bear any resemblance to a traditional ghost story. (Spoiler alert: it kind of doesn't.)
It goes back and forth between being hilarious (Oscar Wilde, so of course it is) and kind of dark (this ghost is not really a pleasant fellow, though he does present as one for quite some time). The ghost is kind of not even the point of the whole thing--it's a satire on Americans. Or possibly on the British. Or maybe on ghost stories. Like in many of Oscar Wilde's works, you can read a lot into a very short piece.
There's not much I can say about such a short work that defies easy explanation besides this: This is definitely not a normal ghost story, but if you are a fan of this type of thing, it's fun to pick up and read.