One of my favorite ghost stories is about Chicago's Resurrection Mary. Hers is a fascinating story. I definitely believe in supernatural encounters, but I don't believe in ghosts in the sense of spirits of the dearly departed being trapped on earth. Regardless of whether any of this is true, it's a great story.
I first heard the story while watching Unsolved Mysteries back in the early '90's. I told the story to some friends while we were camping and I freaked everyone out. I still get goosebumps watching the video. Check it out.