What about all those spirits we hear about? I mean the ones people do exorcism to?
On the other hand, besides all the stories, I don't believe in ghosts, etc. However, after reading The Master and Margarita, I was afraid of meeting Behemoth and Azazello in the darkness

Ghosts are the souls of real people, Behemoth and Azazello are demons so its a bit different story
I also would more likely to believe in demons rather than ghosts