The night before Halloween, 1938. Orson Welles and the Mercury Theater presented a radio adaptation of the HG Wells novel War Of The Worlds. The story was modernized and moved to the United States, but it was also presented with realistic sounding dramatized news reports that caught many listeners, especially those tuning in mid-broadcast, by surprise. The next day newspapers reported nationwide that a panic was caused. Of course, the radio play had been announced the week and listed in the radio schedules. The coverage may have been overblown, fueled more by newspaper concerns that they were being replaced by radio than actual facts, but it made the broadcast legendary. Other Mercury Theater notables heard in this story include Ray Collins and William Alland (who was also in Citizen Kane).
You can also download this classic from Archive.org for free.
It may be of interest to some that this was not the only “horror story” presented by the Mercury Theater On The Air (which continued on as the Campbell Playhouse after the War Of The Worlds controversy the large soup company as a sponsor). Their premiere episode on July 11, 1938 featured a dramatization of Dracula, which you can listen to or download here.