Little kids are usually pretty creepy in horror. One of their creepiest habits is having an imaginary friend, who usually turns out to be a ghost or a demon.
Books:

Imaginary Friend by Stephen Chbosky is a new release that I was super psyched for! I got my hands on an advanced copy and devoured it. Young Christopher goes missing for six days, and returns with his dyslexia cured and a new “friend” who he calls “the nice man” who tells him to build a treehouse that becomes a portal to an imaginary world that is all too real…

The Shining by Stephen King is about a boy and his parents as they go off to live at a hotel for the winter. If you’ve only seen the movie, you might be wondering why this is on the list, but young Danny’s imaginary friend Tony, who lives in his mouth, plays a much bigger role in the book. In the movie Tony is represented by Danny crooking his finger.

Magic by William Goldman is probably the most unique on this list: not a child’s imaginary friend, but that of a grown man, and housed inside a ventriloquist’s dummy.
Movies:
The Amityville Horror (2005) has an imaginary friend who turns out to be a ghost. When Chelsea starts talking about her friend Jodie, it takes a while for anyone to figure out that Jodie is a ghost.

Sinister (2012) is another one where a malicious ghost appears to a child as an imaginary friend.
Dark Water (2005) – you can probably guess this one: a little girl and her imaginary friend/ghost.
Did you have an imaginary friend growing up?