Unfortunately not as good as Jonathan's story, but my only vaguely ghost-ish story goes like this:
A few years back, whilst working on a conservation project in Northern Cyprus, our 4-man camping site was on an abandoned cheese factory (don't ask). It was a fairly rambling place with several outbuildings, but was completely surrounded by a secure 7 foot wall with locked gates.
One night, one of the girls had gone to the toilet, and on returning to our camp, spotted a young boy crouched in the entrance to one of these outbuildings facing away from her. Using her limited Turkish, she shouted out to the boy whilst stepping towards him. At this point she realised he was crying, burying his face in his hands. Now thinking this was a little weird, she hurried past the outbuilding to where I was lying, perhaps 50m away. After a quick relay of the story, I grabbed my faithful 3D Maglite and headed back with her to the spot he'd been in, no more than 30 seconds after she'd been speaking to him, to find... absolutely nothing.
I went over that place with a fine toothcomb, shouting in Turkish, English and every swear word I could muster. No sign of the crying boy. Vanished into thin air.
Now we weren't based far outside of the town and did occasionaly get some of the locals snooping round to see if anything was worth pinching, but always during the day whilst we were out working. Asking round the town also gave us no info, nor did we ever spot anyone who looked like the crying boy.
The area we were in was also particularly violent during the 1974 troubles (locals told us of dozens of Turkish Cypriot men and boys being lined up and shot on the neighbouring beach by the Greeks)
To my knowledge the crying boy hasn't been spotted again, but it sure as hell made for an uncomfortable night when I slept in the outbuilding for a bet a couple of days later.