Off the top of my head...
'Session 9' was filmed at the abandoned Danvers State Hospital
'Death Tunnel' was filmed at Waverly Hills
'Rose Red' was filmed at Thornewood Castle
Room 6 was filmed at Linda Vista Hospital. Dozens of TV shows including the pilot for ER were filmed at Linda Vista.
Boo was filmed at Waverley Hills Sanatorium.
Death Tunnel was also filmed at Waverley Hills.
Pennhurst was filmed at Pennhurst State School an Hospital.
Scenes from 12 Monkeys, Transformer Revenge of the Fallen and Boardwalk Empire were filmed at Eastern State Penitentiary.
The remake of The Shining was filmed at the Stanley Hotel.
The movie Gettysburg was filmed on the Gettysburg National Battlefield which is haunted. Several properties in the Gettysburg area that are haunted were also used in the movie. One of those properties was the Jennie Wade House.
The movie the Stuntman was filmed in the Coronado Hotel which is haunted.
Alcatraz is haunted and was used a film location for dozens of movies like The Enforcer, The Rock and Escape from Alcatraz.
The Shawshank Redemption was filmed at the Mansfield Reformatory.