I've never personally had an encounter with ghosts, but I do know a lot of people that do. I'll share two stories.
My little brother has always been a firm believer that ghosts are real, but he had never seen one or had an encounter with one until three years ago. My first dog, Rusty, a golden retriever died at the age of thirteen. A few weeks after we would hear noises in the house, like a dogs nails on the tile, or a dog panting. Well one night I was sitting in my kitchen and my brother was coming down so I could help him with homework. He said right as he was about to sit down next to me, he saw the tail of a dog go around the corner. He told me, but I didn't see a thing, so we got up and inspected but couldn't find anything. A few days later my mom saw the same thing in the same exact place. Keep in mind we had no animals in the house whatsoever. The two of them kept seeing and we all kept hearing things until we got a new dog. Things are fine now.
The second one is about a place called The Valley here in Newark, DE. Actually, it's in that link that MrRnger posted. I don't know the whole story behind this place as I've never been, but almost all of my closest family and friends have gone. There is an abandoned mansion with a long dirt road leading to it, with trees lining the sides of the road. But in place of where one tree is, there is a brick wall, almost like a wall had been placed around the tree. Well the story is that there was a local girl who thought her baby was evil, so she left the baby to die in the tree, and apparently if you get close enough you can still hear the baby crying. The crazy part about the Valley is what happens when you go there. You can drive in, in the middle of the night, with no lights turned on in your car, and you will still get chased off. Trucks appear out of nowhere, instantly turning their lights on when they are right next to or behind your car. Apparently you can hear men yelling when you're being chased, and the car moving on the dirt road, but you can't hear the engine. That is the thing that scared the most people I know that have gone, you are being chased my mysterious men, but the engines of their cars appear to not be running.