Set the mood. If you're outside, wait until dusk to tell the story. Perhaps start a campfire. If you're inside, dim the lights and put on some low, ominous music. Don't play the music loudly since you don't want to have to talk over it.
Mention the main source of strife in the introduction to your story. Don't bore the listener with a lot of unnecessary background information. For example, say "When you hear the knocking on the roof at night, you may think it's the wind in the woods. But it's not. It's David, the ghost of the man that built this cabin," instead of beginning, "A long time ago a man named David moved here and built this house."
Make the story relatable. Use landmarks that the audience is familiar with. Setting your story in the place where you're telling it almost always makes it scarier. If you're not at home, do some research on local lore that you can use to add color to your tale. It can also help to make the primary character the same age as most of your listeners.
Don't rush through the story. Talk slowly, enunciating the words. Pause at the especially dramatic parts for effect so that they really sink into the minds of your listeners. Ask listeners for input during these pauses if you like. For example, they can feed you names of characters or give you ideas as to what they think is scary. You can add these details to the story as you go.
Come up with a good ending. The best scary stories will cause the listener to jump at the end. If you want, use props. For example, in the story where the man knocks on the roof at night you could have someone sneak away and knock on the roof very loudly as you tell the listener that David still haunts the woods to this day.