I never really believed in ghosts/demons/anything until last year when my son saw something. Though I was in the room with him, I didn't see it, but he was only three years old and it was more than obvious that he saw a something/person whom he later identified in a photograph. See this thread if you're interested in the whole story: http://www.jehovahs-witness.com/forum/thread.aspx?id=16495&site=3
I have no explanation and, really, no explanation could be definitive in my opinion. I mean, who really knows?
The trouble with this kind of thing is that it is so anecdotal in nature. I don't think any research has ever been useful in an empirical sense to prove existence of things other-worldly. This makes it easy to be skeptical. However, just a straw poll of various friends and relations indicates that other forces (magnetic, demonic, spiritual or otherwise) are in existence. If not, there are an awful lot of folks experiencing similar delusions. Maybe it's a genetic defect....