I usually have a combination of the two, with little soundbites between the songs (werewolf howling, witches cackling, etc). I have more upbeat music during the beginning and middle of the party, then morph into more slow/sinister stuff as the evening wanes.
My entire downstairs is one big area, so a movie wouldn't work so well. I have, however, had a silent scary movie playing with the sound off, and this year I bought a dvd from Sinister Ambience (I think that's the name) where it plays a succession of haunted changing portraits on the TV.

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