This Halloween, ROBERT LLOYD PARRY brings a seasonal shiver to New York City with his retelling of two of the greatest tales by M R James, the master of the English ghost story. Oh, Whistle and I'll Come to You, My Lad--a tale of nocturnal horror on the Suffolk coast--is considered by many to be the author's masterpiece. It is beautifully complemented here by The Ash Tree, a story of witchcraft and vengeance down the generations. A PLEASING TERROR (Friday nights at 10 PM only) offers two additional James stories: Canon Alberic's Scrap-book and The Mezzotint. Every Christmas, Montague Rhodes (M R ) James (1862-1936) would write and perform new tales, to entertain friends in his rooms in King's College, Cambridge. A century later, these still have a special power to terrify and amuse. This unique interpretation gives New York theatregoers the opportunity to experience these eerie masterpieces in the manner in which they were originally enjoyed--as ghostly confections, told to a rapt audience.