There was a show for a while on Fox that examined unexplained phenomenon -- or at least ones that some people didn't accept the explanation for -- in a skeptical manner.
One of the tests they did was to hook the investigator up to a powerful electomagnet. He reported having the strong sensation of there being someone else in the room with him, even though he knew that there wasn't. They then visited a supposedly haunted house. It was nearly directly under high-tension power lines. There was also a large, unexplained spike in local measuments of the earth's magnetic field.
The hypothosis was that strong magnetic fields may cause the sensation of there being another "presence" with you. Some people may be more susceptible than others to these fields. Through history, this experience has been explained variously as demons, witches, aliens and ghosts.
[ edit was a typo ]