Is there such things as Ghosts?

With Halloween having just passed, there have been tons of shows on exploring this question. I love to watch these shows, as I myself do not really know what to believe. I believe that there is an afterlife and that we live on after we die, but can we really stay and "haunt" a location or person?
Last night I watched Chris Angel Mindfreak. He took several people to Amargosa Opera House and Hotel in Death Valley. He gave them a little history and told them that this place had the record for the most paranormal contacts or recordings. He then let them explore the hotel. They all went to room 34, which was not mentioned previously, and had eerie feelings there.
As the show went on, they went as a group to that room and then went out onto the porch where Chris was "told" the name Mary by this little girl that they were investigating. They then had a "seance" where the table shook violently and fell over. Later they all sat around another table and caught a glimpse of this girl on camera.Now, Chris Angel is pretty amazing in general, so I am not sure how much of this he had control over.
In all the other shows they give a lot of back history as well, so my question is, how much of it is real and how much is just power of suggestion. When they "see" things, are they really capturing a ghost on camera, or is it a shadow or dust and they are making it appear to be what they want you to see by telling you that is what is there?
I will continue to watch these shows, and scream along with them and get chills as I think that I see things, but I will still have this question in my mind, Are ghosts real, or is it all in our heads?