I believe in them. I hesitate to talk to many Christians about them because so many Christians dismiss them as demonic. However, there is no Biblical basis (that I know of) for that theory. Here is a passage from Luke 24: “While they were still talking about this, Jesus himself stood among them and said to them, ‘Peace be with you.’ They were startled and frightened, thinking they saw a ghost. He said to them, ‘Why are you troubled, and why do doubts rise in your minds? Look at my hands and my feet. It is I myself! Touch me and see; a ghost does not have flesh and bones, as you see I have.’ When he had said this, he showed them his hands and feet.” Scott Maruna, who wrote the article found on the link below, makes such an excellent argument for ghosts from a Christian perspective that I cannot add much more to it. http://www.occult.be/modules.php?name=News&file=print&sid=30 (Link is now dead -- sorry.) One thing he points out is that Jesus would not "waste words" talking about what a ghost does or does not have if they didn't exist. It would be like telling a kid not to worry because "the boogieman does not have sharp claws."
Ghosts do not have to be incompatible with Heaven and Hell. We know so little of what happens in the afterlife, especially immediately after death. And it is likely different for different people. Regardless even of my spiritual beliefs, the evidence for ghosts cannot all be explained away as hallucinations OR demonic activity. I believe the spirit world is every bit as complex as this world, and to give any one phenomenon a blanket answer is to assert a knowledge that a being of this world cannot possess.