Mme. Tussaud's in London has some wonderful wax reproductions of famous people and events, but the only exhibit most people care about is the one involving famous murders.  For some reason, we associate wax museums with horror, though, of course, that's not what they were designed for.  Any number of horror stories are set in wax museums for this reason.

This being said, the above description is in error.  No exhibit protests its inclusion.  No exhibit comes to life; there is no supernatural component at all.  The story is a museum curator explaining an exhibit to a patron, and how the immortalized crime came to pass.  Suspense, no supernatural elements.  (Though, to be fair, the model for the exhibit protested the inclusion of another exhibit.)