A group of friends work in a museum and for a year or two, several of us met there in the evenings, after the public had gone, to make costumes for living history events - a sort of informal sewing bee. One of our group had the keys, and we'd let ourselves in and turn off the alarm system.
We usually got together in an upstairs room because it was the largest room. It is not a very old building, and is not on the site of any previous building, so is not particularly spooky or creepy. It has huge windows, you can see most of the site and the carpark too. We'd pull the gate shut after driving in so no members of the public could get in, and we'd have seen if any cars pulled up or people walked across site because of security lights, and where we were sitting with that view right across the place.
About half way through the evening, we'd stop for a coffee break and someone would go down to the cafe below and make us all a drink. The toilets were downstairs, by the cafe.
This one night, I went to the loo and as I was in there clearly heard what sounded like a man walking about just outside, in the cafe and he was whistling. Really, really loudly and unmistakable. I didn't think anything of it. But even so, when I came out of the bog, something made me feel a bit creeped out - it looked like there was no-one in the cafe. But I didn't dare go in and look, just glanced through the doors as I passed. I ran upstairs and collected myself before I walked in, not to look a prat, and casually asked which of the blokes had just been downstairs in the cafe and were they making a drink? Needless to say - no-one in there. In fact no-one in the downstairs of the building at all - apart from me. I asked them if they were sure none of them had been down. No, they said, no-one has. "Ah come on I heard you whistling, really loud. It was definitely coming from the cafe." - for months afterwards they'd tease me about the whistling ghost, and make silly ghost noises and whistle whenever I went to the toilet. Bastards.
I asked my husband again afterwards and he insisted no-one was on site, apart from us and no-one was downstairs apart from me.
Not long afterwards, right at the end of the cafe where I heard the whistling, I noticed an old photo that was perfectly innocent but freaked me out. I asked my husband who it was. He said it was one of the old trustees of the museum, who had loved the place and that was the table where he always sat. I think it was him I heard. Although why he picked me and why when I was on the loo - no idea. Thing is, it wasn't faint or imaginary it was very loud and only a few metres away - I knew exactly where it was coming from. And I don't think they were winding me up as I legged it up the stairs two at a time and no-one was ahead of me. They were all sat there, still sewing.
Friend of mine used to do some work after hours at the Imperial War Museum, once Bethlem hospital (asylum) and she said it was actually rather terrifying being in there at night.
I have a few living history/re-enactment ones too, as being in old buildings at night after the public has gone home, in kit, often seems to provoke something.