Originally opened in 1930, the Ghost Train at Blackpool lays claim to the title of "First Ever Ghost Train". Until then (allegedly), nobody used the term Ghost Train.
The current Ghost Train was built in 1936 and the building was designed by Joseph Emberton, a famed architect of the time who had worked extensively with Blackpool Pleasure Beach. This new Ghost Train was on two levels and features a "coaster like" drop in the middle of the ride. This is the ride we see today, although it's undergone a fair few cosmetic changes over the last 80+ years.