Pechory Monastery's eerie burial caves house some 10,000 bodies, bricked up in underground vaults. The only way to access the caves is on a tour led by one of the monks (in Russian only); you'll need to prearrange this through Pskov Tourist Centre or at the excursion office outside the monastery. Tours take place most days at noon, and lead you through the spooky, near-freezing sand tunnels.
Everyone carries a candle, which you can thrust through holes in the tunnel walls to see the wooden coffins lying lopsided on top of each other.