Between the various phenomena that are attributed to "something that the human mind cannot explain", ghosts and spirits are probably the ones that can be acceptable to a wider range of people.
After all, our experience shows us that people [i]die[/i], this is one of the few certain facts of the world. The possibility that [i]something [/i]of these dead people remains in our dimension is not too far-fetched compared to other supernatural-related theories.
I also think that the possible existence of ghosts does not even have a big impact on our belief in afterlife, the two things are not necessarily related (I guess it's not to difficult to devise the idea of ghosts as an unknown kind of energy, or as "echoes" of events past, or a thickening of yet another kind of unknown energy during particularly emotive events). This simplifies the religious dilemmas a bit.
In general, ghosts can be explained in many ways (supposing they are real and not generated by allucinations or mass hysteria), I can think about several myself. I think it's difficult that these "theories" can explain everything, though.
Personally, I'm not completely against the idea of ghosts, I can define myself as a "healthy skeptic", even if some events give food to thought. In my personal case I even have a "real event" that I can bring as witness, even if it didn't happen to me directly but to one of my cousins. Usually I don't give much credit to stories told by other persons, but in this case I know my cousin to be... let's say, not particularly gifted with creativity, so I tend to believe her
Note: of course I am speaking only about ghosts in the strict sense, not on other supernatural forms as nature spirits, or supernatural creatures as elves and such.
P.S.: Awi, true that we don't know the GTU, but we cannot really say that we don't understand gravity, just we cannot fit it in a global scheme with the other forces ^^