What the does the novel The Canterville Ghost teach you?

Oscar Wilde's novella The Canterville Ghost is both a ghost story and a parody of this kind of suspenseful tale. In this story, the ghost of the title attempts to haunt an American family staying at a grand estate in Britain called Canterville Chase. The Otis family refuses to heed Lord Canterville's warnings that the mansion is haunted, and though the ghost tries his best to scare the family, they are not unnerved in the least by his best efforts.
From this story, two lessons can be learned. First of all, sometimes, serious change requires genuine understanding. When the daughter of the family, Virginia, tries to talk with the ghost, she finds out more about his story and she ends up being able to help him find peace. Second of all, the story proves that rational thinking has its rewards. The Otis family sticks to the commitment they made to stay in the mansion, even when the ghost makes scary noises. Mr. Otis very reasonably asks it to oil its noisy chains. By suggesting a solution and making a clear request, Mr. Otis keeps his focus on his objective and accomplishes what he set out to do: stop the noise.

This question seems to be directed at individual readers; therefore, individual reader responses are going to vary a bit. For example, my own young children would probably learn the most from the twins in this story. My kids would learn that playing practical jokes on people/ghosts is great fun.
I think most readers are likely to learn a valuable lesson from Virginia Otis. While Sir Simon annoys most of the Otis family and the family does everything possible to make Sir Simon's haunting ineffective, Virginia Otis is the one family member to start from a place of compassion. Rather than antagonizing him, Virginia seeks to empathize with the ghost. This lesson in empathy is a valuable thing. She feels badly for Sir Simon and his situation, but she isn't afraid to let him know that his actions while alive were quite horrible.

"It is very wrong to kill any one," said Virginia, who at times had a sweet puritan gravity, caught from some old New England ancestor.

It's Virginia's care that ultimately wins the day, and it's because she takes the time to have a conversation with the ghost and is willing to do something helpful for him. She demonstrates a wonderfully loving and caring heart for someone that initially is presented as an enemy to the family, and I think there is a solid lesson in that for readers.

"The Canterville Ghost" is a short story that teaches an important lesson beneath what seems at first to be merely a funny tale.
In the story, the typical ghost story is turned upside down. Instead of scaring the American family that moves into the English Canterville Hall, the family scares the ghost. Being Americans in England, they don't take seriously the idea of ghosts haunting houses. 
Wilde humanizes Sir Simon, the ghost. Sir Simon is not, as is normal in ghost stories, simply a scary monster. He also is not a buffoon. Virginia, the daughter in the story, comes to understand that he is a suffering being with feelings and desires who wishes to atone for murdering his wife. Virginia treats Sir Simon with compassion. By interceding for him by praying, she enables him to go his final rest.
The story teaches that we shouldn't label beings who seem different from us as monsters. We also shouldn't subject them to cruel jokes. Instead, we should try to understand their needs and treat them with kindness and compassion.