Gray's "Elegy Written in a Country Churchyard" takes place—you guessed it—in a country churchyard. And that means that it was written among all the gravestones of the dead members of that church. It's shaded by elm and yew trees, and there's an owl hooting in the background. Spooky, right?
But it's not supposed to be a spooky poem—this isn't about dead people coming back to haunt the living, it's about how the living remember the dead. And as the speaker imagines what these dead people's lives were like, the setting of the poem shifts—the speaker imagines their everyday lives in their country cottages. Most of these people were farmers, so he imagines them plowing their fields, and coming home to their wives and children at night.
But then the speaker imagines what people will say about him, when he dies, and the setting of the poem shifts again. Now we're in the shoes of some passerby who happens to see the name of the poet on a gravestone, and happens to ask someone what he was like. The speaker imagines that he'll be remembered mostly as a thoughtful guy who loved nature, who was often seen lost in thought under a tree or by the creek.
So, in spite of the poem's title, the setting really isn't creepytown. The emphasis is on the average, everyday, simple "country" part of the setting. There are lots of trees, and creeks, and farms, and no ghosts in the graveyard at all—unless you count the memories of the past that we all carry with us.