Do Ghosts Exist?

Every year teaching high school, the students always ask whether ghosts exist or not. I have always answered that I don't know of any official teaching of the Church on this matter, but there is an account in Scripture where Samuel's ghost appears to Saul. It appears, however, that in some Jewish traditions there is room for belief in ghosts. The following is a summary of midrashic and talmudic teaching from the Jewish Virtual Library:

When a man dies his soul leaves his body, but for the first 12 months it retains a temporary relationship to it, coming and going until the body has disintegrated. Thus the prophet Samuel was able to be raised from the dead within the first year of his demise. This year remains a purgatorial period for the soul, or according to another view only for the wicked soul, after which the righteous go to paradise, Gan Eden, and the wicked to hell, Geihinnom (Gehinnom; Shab. 152b–153a; Tanh. Va-Yikra 8). 

UPDATE: Hat tip to Nick Hardesty of Phat Catholic Apologetics for pointing out this great article on Seven Kinds of Ghosts.