The last time I saw a sign warning those of a nervous disposition not to enter I was in a queue outside the Haunted House at Alton Towers.

Much like a theme park attraction, the stark warning printed on the posters for Ghost Stories gives the faint-hearted a final chance to turn back. But for adrenaline junkies it’s also an enticing invitation to play with the most unpredictable of human emotions: fear.

For many, this caution will be an irresistible pull to witness first hand the show being touted as the stage’s first “horror play”.

The warning is entirely justified. Ghost Stories is a nerve-shredding stage show and a must for any self-respecting horror fan.

The play begins with a lecture from spectre sceptic Professor Phillip Goodman (played by Andy Nyman), who attempts to explode the myths surrounding society’s obsession with ghosts.

A supposed expert in parapsychology, Professor Goodman humorously exposes a series of folklore legends and urban myths. But he then talks about three case studies that had left him troubled.

It is this collection of “ghost stories” that is re-enacted for the audience. And they are executed so effectively it has you on the edge of your seat for a full 80 minutes.

A night watchman working out his final shift at a deserted warehouse; a teenager stranded deep in a forest after his car breaks down; and a father-to-be who encounters ghostly goings-on in the nursery meant for his new baby.

My favourite “ghost story” was the first – and most terrifying – tale of the night watchman.

I was gripped as his boredom of patrolling the site turns to terror after he hears voices and a mysterious banging on the door of his makeshift office.

A scene where the theatre is plunged into darkness as the night watchman searches the “warehouse” with his flashlight builds tension so artfully half the audience screamed in fright - the other half hid behind their hands.

Without giving away too much of the plot, the play cleverly taps into our universal fears of isolation and exploits the tricks the mind plays on us.

It effectively creates a sense of dread, using comedy as an occasional respite from the tension.

Written by Andy Nyman and Jeremy Dyson – one of the creators of the cult television series The League of Gentlemen – the play does a fantastic job of making you feel uneasy from the moment you walk into the foyer at the Duke of York’s Theatre.

Corridors leading into the auditorium are dimly-lit with a low rumbling sound emitting from speakers throughout the building.

By the time you’ve taken your seat and a voice over the loudspeaker informs you there will be no interval, you get the sense there is no going back.

After the show’s finale, the audience is urged to “keep the secrets” of Ghost Stories. And if the thousands of people who have seen the show so far manage to keep their mouths shut, it will surely be one of the best-kept secrets in town.

• Ghost Stories is on at the Duke of York’s Theatre until November 7. For tickets, call the box office on 0844 871 7623.