Ive had a few odd experiences, but the 2 most notable -
I'm an urbex photographer, so have spent a lot of time in abandoned buildings. I will preface this by saying im not woo, largely sceptical and dont get freaked out easily, generally i find abandoned places exceptionally calming.
Weird thing 1 - Not scary
I was exploring Blackburn Royal Infirmary with a friend. We had come up a fire escape and were climbing into the building through a first floor sash window which was open/broken that led into an open plan ward. I went first, and as i was hauling myself through saw a man crossing the ward from right to left. Was a bit surprised to see him so said "Oh! Hello, sorry" - no response. Assumed he was another photographer so didnt think much else of it as you do run into them sometimes.
Turned back and took my friends backpack from her through the window and had her hand to pull her through, she looks up and past me and says "Hi.."
We were both by the window dusting off our knees and got our first good look at the ward - absolutely nobody in it. I asked friend if she'd seen the man and her response was "well yeah i said hello to him!"
The weird thing was that as soon as we stepped into the ward our feet were crunching glass/plaster etc and our steps were really audible. His were not, he was crossing in absolute silence. He was also crossing from the direction of a doorway to the end of the ward that had no exit and was in the middle of the ward when we saw him.
There was no time for him to retrace steps and leave in the couple of seconds between seeing him clearly enough for two people to say hi, and disappearing completely. We went all round the hospital that day and it was otherwise deserted and silent. Neither of us were scared by it at all.
Weird thing 2 - bloody scary.
Same friend and I were exploring a place called Birkwood in Lesmahagow which was an ex psych hospital. We'd been trying to get in for ages and had our first success. Summertime and a dry clear quiet day.
We had been in the building for 5 hours or so and worked our way down from the upper floors to the lower. Birkwood had some fantastic and beautiful spiral staircases which were the goal of the trip. We had finished up and were on the gorund floor in the doctors office, which was off the main entrance hall and still had some psych textbooks on the bookshelves.
There was a partition wall in the corner which was plaster but had been broken through to reveal an alcove that was full of old patient notes, which we were sitting down reading. Id got a numb foot so had got up, left the office and wandered down a small corridor towards the nurses quarters.
I'd stopped because i could smell fresh cigar smoke, really strongly so was just standing in the corridor trying to pinpoint the odour. Friend came out of the doctors office to give me a row for smoking inside (i did smoke at the time, but im not daft enough to do it inside an abandoned tinderbox) - I told her it wasnt me, and we both stood there really quietly like "WTF". We moved into the main hallway where the smell was really pungent. It was 100% fresh cigars. We were standing there in silence trying to see if we could hear anybody moving around and then it all got really quite horrific. There was a shift, it got cold, and if i had to describe it, it felt like the building was breathing in, like the air got sucked out of the place. Our hackles went up, and then there was a series of BANG BANG BANG as the doors in the upper floor started to slam shut almost as if they were closing in a row and the sound was coming towards us. We decided to bolt, but didnt have time to get down to the basement where we originally got in so grabbed our bags and ran straight down to the main front door which was boarded either side with plywood. We were totally bricking it and could feel/sense this rush behind us like a wave of GET THE FUCK OUT so frantically kicked out the plywood to the right of the door and head-dived through it.
Could not get out of there fast enough.
The building collapsed completely about a month after that, and I was googling it (i always thought it was an insurance job by developers as it was listed but derelict) and as i was searching found a load of stuff about it being haunted and who had died there, and most of the reports mention phantom cigar smoke.