Ghosts are something I once believed in, as a child. But not anymore. This is partly because of all the people I've met in my life and talked to; none have ever reported paranormal activity. Nobody has ever come up with evidence to support a paranormal claim. All the houses in both neighborhoods I've lived in are generally over 100 years old. There has never been a case where something suspicious could not be given a rational explanation with investigation.
The conclusion I've come up with is not that I have been lucky enough never to see paranormal activity, but that I have been lucky enough to surround myself with intelligent people who do not jump to lofty conclusions when something happens they can not explain right away. The problem with most ghost stories is that the teller is more willing to give you a supernatural explanation instead of something more realistic and mundane.
One of the problems may very well be the population bias of supernatural validity out there. In short, more people are willing to consider a supernatural idea valid based off of their faith and upbringings than investigate or doubt it. For every Scooby-Doo television show we have, where the conclusion of each episode clues the watcher in on whodunit; never without a rational explanation, we have a thousand Ghostbusters, The Rings, The Exorcists, and plenty other media sources we see everyday which encourage you to believe, instead of critically think. There are thousands of ghost stories out there, but how many of them are born from objective, skeptical people?
Perhaps an anecdote is in order: there was a news story in Great Britain recently where a man in a house heard a strange voice every night, which said (paraphrasing), "I'm hungry! Feed me!" The voice sounded pretty threatening, and scared the man. However the man was not content to rest the midnight occurrence on supernatural causes, and called in a team of skeptics to find a suitable answer. Eventually, their search turned up a child's Cookie Monster watch, which had an alarm clock timer set for some time around 2:00am.
I think the moral of this ghost story is obvious.