In reply to nw: Folk music is chock-full of murder. A few that spring to mind: The Bramble Briar - Martin Simpson, Edward - James Yorkston, Cold Blows the Wind and Spectre Review - Bellowhead, Sweet William - Tunng, Widdecombe Fair - Show of Hands, Child Owlet - Steel Eye Span.
Innocent's Song by Show of Hands isn't about murder as such (it's about Herrod) but is nonetheless very creepy. There must also be loads of Current 93 stuff that fits the bill, but nothing springs straight to mind.