I've had a couple of ghostly happenings.
Where I worked once we were in two big old houses. The one I was in was supposed to be haunted by a young woman. Quite often I was the first person in and I would frequently hear footsteps on the closed-off staircase and in the corridors above my office. One day there were the footsteps followed by a cry for help. I searched the building from top to bottom, but couldn't find anyone.
The other building was supposed to have lots of ghosts. It was so bad at night that Security refused to enter the building and would only do checks from the outside. Colleagues who worked there said there'd be nights when all the heavy fire doors would start banging open and shut wildly.
Security used to come round in pairs; one would stay in the car and one would check the buildings. One evening the guy out of the car came back to find the driver white and shaking. When he asked what had happened the driver said he'd just reversed over a young woman - the other guy checked, but there was no-one there.

My worst experience was in another old house. I went into a room, tried one set of lights, which didn't work. Walked into the room to reach a second set and all the doors banged shut, so I was shut in in the pitch black. I ran like hell, climbing over the furniture, and wrenched the door open to get out. Someone else went in there another time with all the lights on and as they entered the room there was a big crackle and all the lights went out.
Maybe it was someone playing a practical joke, but usually you find out at some point (I don't think practical jokers find it much of a "joke" if they can't laugh at their victims afterwards). The feelings though were very oppressive.