Ghost Train (click on the link for trailer) aka "Otoshimono" will be the first of several films I review that, while not part of the Mythos, occasionally refer to it, or would be possibly tempting to fans of Cosmic Horror. In the case of Ghost Train there is supposed to be a reference to a girl looking forward to going to Miskatonic University, and a few carved reliefs in the subway tunnels. I personally didn't notice the MU reference when I watched but I got to see a dubbed copy, and quite frankly the dubbing was awful as usual. Watch it with the subtitles on.
It begins like most typical Yurei films, Yurei being the Japanese term for a specific type of Ghost (usually then sub divided into other categories). Someone who has died suddenly and violently such as murder or suicide, and who hasn't therefore received the proper funerary rites. They can bridge the gap between the afterlife and our world to return for revenge on the living. In practice their revenge consists of slaughtering whatever is in their path, and until you give them what they want they wont go away. The problem arises when what they want is impossible to have, and they just refuse to die in spite.
Basically a ghost is haunting a train platform, and anyone who finds her boarding pass (or other possessions) is fated to die by her hand, and roam the station as a ghost as well. Typical Yurei fare. What follows is a mystery of what exactly the ghost wants so it can be put down, and in the process find some sort of cover up of something from when the train was built. Some awful unknown evil. I won't spoil what follows, but it's fairly Lovecraftian in it's way.
Ghost train isn't necessarily the greatest film out there. It shares the annoying habit of jumping back and forth in the timeline to tell stories in flashbacks or forwards, and splits the characters so you follow their stories individually, so there are some who will be confused by it. But modern Yurei films do have a bit in common with Cosmic Horror, and some of the better ones should be seen more widely. Please note that this one was published by ADV films, which has now split into several different entities, and I'm unsure which if any of them has the rights to it. I know you can still rent it via Netflix, and buy it online.