I would take them to a haunted place like Leslie suggested. I've had a few encounters that left me frozen with fear. My friend and her family had to move out of that house suddenly because whatever was haunting it was starting to get more hostile. I never would have believed it unless I experienced it firsthand.
I see it as the best way to go about it really. I believe in ghosts and spirits and whatnot. Me and my friends have gone to a dozen places around here, and there is 1 place the scares the crap outta me every time we are there.
Hold a seance
have you and another 'assistant' ready to scream and swear that they just saw something wallk into scaredycats room. Have the assistant act super scared and leave the house and refuse to come back in. He just knows that the thing thing you both saw is 'lookiing for a new body'.
Mr Fraidypants won't sleep in his room that night. LOL