In my opinion they are scary because we don’t quite understand ghosts (and I use that term lightly). I’m not exactly what you call a believer, but I think that people who simply write ghosts off are kind of silly. Sure, they might not be the long dead returning in spirit form, but that doesn’t mean that they aren’t phenomenon worth investigating, especially since they can provide use with insight as to how are brain works and comprehends the environments that surround us.