Inlcuded in my list which I posted this on the "what movie scared you the most" thread was one called "Death of a Ghost Hunter." I think maybe it purported to be based on a true story. Whether or not that's true, it is some pretty scary stuff. I highly recommend it, but not when you're home alone.
On the OP's general topic, I've never seen one, but I've suspected that there was one around a couple of times. Strange things happening that didn't necessarily involve large quantities of alcohol. I guess I'm a believer.