Supers vary widely on the response to this question. I know, I know, you would think that being a shapeshifter would kind of predispose you to the idea that there are weird things out there, but that just goes to show we are all afraid of what we don't understand. Also, accepting that ghosts exists also assumes the validity that there is life after death. At least in some form or another.
Of course ghosts don't appreciate being ignored or avoided. Yes, this means they do in fact exist. Though I cannot name my source as he wishes to remain anonymous.
Are they lost souls, doomed to forever walk the path of their unrequited desires? No. Actually they are pretty much the same people they were in life, minus a body. Don't go getting too excited though. It's not all it's cracked up to be. Hardly anyone can see you, let alone communicate with you if you are a ghost. Plus forever is a long time to wait.
Have these ghosts chosen to remain behind for some unfinished purpose? Again, no. All I can tell you is that the ones I know of were not given a choice.
So, should we be afraid of them? No. Well, unless they were a person you should have been afraid of anyway like Blackbeard or something. Otherwise they're just like you and me, just trying to make the most of what they've been given.
Don't forget that this coming Thursday I will be posting an Interview with a Mermaid. So don't be shy - let me know those burning questions you have for these mysterious creatures! I've already received some good ones...