I'm going to list the types of ghosts or spirits, whatever you prefer to call them, so that, in the event that you see/feel one, you can just look at this and, hopefully, it will answer what type it is!
NOTE: Ghosts are generally NOT evil and malicious! It is a very small chance that they actually physically impact you, and an even smaller chance that they hurt you! In fact, they usually leave if you ask them politely, but firmly!
Some general info on finding ghosts:
If you suspect a ghost in your home or somewhere otherwise, take a picture of the area when you feel it is around! You never know what will show up on the camera.
Mediums and Psychics:
"Mediums" or "Psychics" are people that can see/feel or speak with ghosts. It is a gift they are born with, and you can not learn to become a psychic.
A ghost or spirit that you can see or sense near you. They can be solid, transparent, or appear in the form of fog or a face in the fog. Usually spotted within older buildings.
Apparition sub-category: Crisis Apparitions
Crisis apparitions generally appear around places where an accident has happened or is about to happen and someone dies. A good famous example is the Green Lady, who would appear when someone was about to die in Caerphilly Castle.
NOTE: Crisis Apparitions are also known as Dopplegangers or Wraiths
Orbs appear as white circular objects that are semi-transparent to opaque in pictures. They take place just about everywhere!
These spirits appear as blurry, shadowy objects that appears as if moving quickly. They are usually spotted within a home. They are generally referred to as just another form of a spirit, but some people refer to them as demons.
A poltergeist is a mischievous spirit that generally starts much like a usual haunting, but escalates and throws around objects in the room or building that the "agent" is in. The agent is the person that the poltergeist follows or attaches onto. The agent generally has some form of psychokinesis and is under stress or very angry, because the poltergeist feeds off of negative emotions. Poltergeists can take place anywhere.
There are three types of Poltergeists- (Thank you, Thelea!)
RSPK (Human made Poltergeists)
A vortex spirit appears as a funnel of light and is a very strange spiritual phenomena. They can be felt by people around them as a spot of cold air. They are usually spotted within old houses and buildings.
A rare spirit that can take control over a person and make him/her do evil acts. Can be summoned through a Ouija Board. For more information on Ouija Boards, go to this topic:
A phantom is a ghost that is so realistic that it is not even considered a ghost until it does something that a human cannot do, such as walk through a wall. Can sometimes appear as a hitchhiker.
A recurring spirit is a spirit that continues to do the same recurring action. This could be the way they die, or anything, really. (credit for Recurring Spirit goes to Annagain)
NOTE: The Time Lapse itself is not necessarily a spirit, but it is caused by a spirit.
The Time Lapse is a certain type of paranormal phenomena and mostly seen as sounds and transparent shadows, and it may be something that happened in the past. It is also considered seeing into the past, but you may not know it, because the building could be the same as it was when the event that you are witnessing took place, a time that previously happened that happens somewhere in the present, for whatever paranormal reason it has.
The Will-O-Wisp is basically an orb that you can see with the naked eye. It floats about in a pattern or randomly. They can last for short or long periods of time, and usually haunt a place where a tragic death has taken place.
Etheric Revenants (thanks to Doktorhook)
This is a human who has somehow avoided the second death & therefore maintains all spiritual constituents intact including what is commonly called the mind. It is an abomination to the natural order of things & is always evil or soon becomes that way if it maintains it's existence for long. They are the most dangerous human "spirits" that anyone will ever encounter. Physical objects can be manipulated by these beings though in general they wish to conserve energy to sustain themselves. Therefore the only time they will attack other than trying to syphon lifeforce from a person is if they are somehow threatened with the second death or they are put into a position where there is potential threat of being found out.
(NOTE: this was taken out of context from Doktorhook's excellent topic about vampires