When latest Autumn spreads her evening veil, And the grey mists from these dim waves arise,
We already knew from the epigraph that the poem takes place in October, so no surprises that the speaker tells us that it's Autumn.
Wait, what?—how can Autumn "spread her evening veil"? Autumn isn't really a person, and can't wear a veil, so this must be an example of personification.
And what's the deal with an "evening veil"? It's just a metaphor to describe how it gets darker in the evening, as though someone were pulling a veil over the world.
We know from the epigraph that the "waves" the speaker mentions are the waves of the Arun River. It must be cool enough outside that there is misty fog rising off of the river. Sounds kinda spooky.
The meter, or rhythm, is very regular—it's in iambic pentameter, which is the usual meter for a sonnet. (Go check out the "Form and Meter" section for more on that.)
I love to listen to the hollow sighs, Through the half-leafless wood that breathes the gale:
The speaker really likes listening to the wind through the trees, even though they are "half-leafless," since it's autumn.
Saying that the gale, or wind, "sighs" and "breathes" is another example of personification, since those are things that only a person would do. Seems like she (and we're just assuming that the speaker is a she at this point) wants all of nature to agree with her bad mood—everything around her is moping along with her, just because she feels melancholy.
Also notice that the first four lines have a set rhyme scheme of ABBA, which is typical of a Petrarchan sonnet. (Check out "Form and Meter" for more on that.)
For at such hours the shadowy phantom, pale, Oft seems to fleet before the poet's eyes;
At times like this, it's easy for the speaker to start seeing things like ghosts, or "shadowy phantoms."
Hey, we thought the mist on the river seemed creepy and spooky!
Notice that the speaker mentions the phantom, not just any old phantom. We wonder if this is someone specific's ghost. We guess we'll have to read on to find out…
Strange sounds are heard, and mournful melodies, As of night wanderers, who their woes bewail!
At times like this, the speaker might start hearing weird things, too—like sad songs that might come from ghosts ("night wanderers") who are moaning and groaning about their own sadness.
The repeated S sound in "strange sounds," and the repeated M sound in "mournful melodies" are examples of alliteration. Seems appropriate, given that she's talking about weird noises—the "sssss" and "mmmm" sounds seem almost to imitate the sighing of the wind...