Ok, so, necro-bump like whoa, but I was just recently turned on to a wee baby podcast that fits this bill crazy well. It's called Limetown, and it's currently in-progress. It's scheduled to run for seven episodes and it's really fun so far. When I was introduced I was told "It's like if Nightvale was played straight, not for laughs" and that's exactly what I'd call it.
It's spooky, creepy, and well put together. It makes you uncomfortable when it wants you to be and episode two actually scared me. Like, real, squirmy, afraid-of-the-dark scared.
Check it out:
limetownstories.com