I usually break this out when someone asks for a "ghost story," but I don't believe in ghosts, so we'll say it fits this category.
I have always loved exploring abandoned buildings in the American west. Mostly ghost towns, abandoned mines and such, but old ranch houses and other building can be interesting, too.
In 2005, I was in central Nevada, heading for a week long exploring trip. I passed an old house on a large (former) ranch property that I know had been inhabited just a few years earlier, but now appeared to be abandoned. No cars on the property, about half of the windows boarded up, etc.
The front door was open, so after shouting out for any inhabitants with no response, I walked into the house. It had seen other visitors before me. A few windows were broken from the inside, and many of the few belongings left behind had been rummaged through and strewn about. I walked upstairs, and began walking from bedroom to bedroom. Pack rats had begun their takeover, and their droppings littered the floor. I walked into what was once decorated as a little girls room. There was a cheap brass bed frame, and the mattress had been slid partially off the frame and onto the floor. Some clothes and toys sitting around would lead me to believe the girl was quite young. I peeked into the small closet, which was bare with the exception of a few wire hangers left on the rod. When I turned to leave the closet, there was a girl, around 5-6 years old sitting on the bed, which had somehow had the mattress returned to its normal position.
She said "Hi, Mister. What are you doing in my room?" I panicked, and immediately realized that the house wasn't abandoned, it was just that the family living there was living in extreme poverty. I began apologizing, and explained that I had yelled hello, and nobody answered, so I thought the house was abandoned.
"It's okay, Mister. Mommy isn't home. I haven't seen here in a long time. Maybe you could help me find her?"
She stood up, walked toward the the open window and sat on the ledge, looking out on a vast empty field of sagebrush.
I asked her to come downstairs with me and we would go find her mother.
She started to stand up from the window, but turned around suddenly and said "Oh no, he's coming! I have to go, Mister. He's coming! You should probably go too." She then kicked her legs over the windowsill and jumped. I raced to the window, and looked to the ground, expecting to see an injured little girl, but there was nothing there. I raced back downstairs and out of the house. I looked around as I walked back to my car, but saw nobody.
She wasn't what I think of when I think of a ghost. There was no transparency, no foggy haze around her or anything like you would expect from a movie "ghost." I still don't know what the hell I saw. I pulled into Austin, NV later that evening and met up with the group I was planning on exploring with. We went for drinks that night at a local bar, and after a few drinks they convinced me to tell my story to the bartender. He listened, and then asked me to confirm the location of the property. When I described the location and condition of the house, he explained "Oh yeah. That's the old _______ ranch. Sounds like you had a visit from Nellie. She likes to chat with people that stop by. She's harmless." He then explained that the original owner disappeared in the late 1960's after leaving a note saying the family was moving to Alaska, so he could try his luck at gold mining in the Yukon. He was later located in Oregon, and largely suspected of killing his wife and daughter, however no bodies were ever found. His version of the story was that the wife and daughter did not want to leave Nevada, and left him somewhere along the way.
I absolutely loathe telling this story, because I don't believe in ghosts or the paranormal, and I feel like I'm trying to tell a spooky story to a group of children. I went back to that house 2 more times before it was burned down a few years back. I never saw or heard anything unusual since my first visit.