In the West, those who believe in ghosts sometimes hold them to be souls that could not find rest after death, and so linger on Earth. The inability to find rest is often explained by lingering, unfinished business, such as a victim seeking justice or revenge after death, or a criminal lingering to avoid Purgatory or Hell. It is sometimes held that ghosts reside in Limbo, a place, according to some Catholic doctrine, between Heaven and Hell where the souls of unbaptized infants go.
In the East (such as China), people believe in reincarnation. Ghosts are those souls that refused to be 'recycled' because they have unfinished business similar to those in western belief. Exocists can either help a ghost to be reincarnated or blow it out of existence. In Chinese belief, besides reincarnation, a ghost can also become immortal and become demigod, or it can go to hell and suffer till eternality.
In most cultures, the appearance of ghosts are associated with a chilling sensation. Some believers claim ghosts are related to some kind of negative energy. But a natural animal response to fear is hair-raising which can be mistaken as chill. Ghosts are also associated with seeking justice or revenge almost in all culture. It serves as an effective scare tactic against killers in all society.
See also Parapsychology, Exorcism, Undead and Possession