It rather depends what you mean by "haunting". I suppose I'm rather haunted by a lot of New Order and Pet Shop Boys tracks, because I find their melancholy musings incredibly relatable and also they remind me of certain events in my life at the time that have haunted me.

Example: Ruined in a day — New Order (K-Klass Remix) — HD

This song (and especially this remix) haunts me. It all but literally transports me back to people and places I knew at the time (at university). And one person in particular.