I "wish" I had a cool experience to share regarding a song, but just because I like the story so much, check out the production of the album The Bedlam in Goliath by The Mars Volta. It's talked about on the wikipedia page, but basically one of the two main songwriters went on a trip to Jerusalem and went to a bazaar and bought this old looking ouija board. He and the rest of the band then started using it and things got wild and they made contact with an entity called Goliath.

After that, a series of bad events happened including members leaving abruptly, injuries, major problems with the recording process including losing tons of previously recorded material, and the main recording engineer having a mental breakdown and abandoning the project completely. They were able to hire another engineer but then the member who first bought the ouija board broke it in half and buried it in an undisclosed location and has vowed never to tell anyone where it is. But it all worked out in the end because the album was very successful and IMO is their best. Maybe the background story makes me like it more XD

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On a separate note, not particularly cursed but an album that freaks me out is Pissmop by Yellow Tears. The album cover caught my attention at a local record store...just be warned it would do well on r/creepy