I have plenty of stories that I've been told over the years. The only kind of ghostly thing I've experienced myself was when I went to the U.S back in 2007.
We visited this mansion which was haunted by a lady called Mrs. Winchester. The night before we went to visit, the crew from Most Haunted were doing a show from there. Anyway, when we were on the tour of the house the tour guide showed us into Mrs. Winchester's sitting room. I was standing near her fire place, at the back of the rest of the group. As the tour guide was giving the information to us, I felt a push in the back, enough of a push for me to check behind me to see if someone was there. Nobody was behind me but I definitely felt a push.
That's my only first hand experience with Ghosts.