I do, although I don't believe they're nearly as common as some others do. I'm very practical, and I will always look for a physical cause when things don't seem right. But there have been times I just couldn't come up with anything.
For example, one time I was standing alone in the back of the balcony of the theatre where I worked, waiting for the audience to clear out after a show. This was an older building that people claimed was badly haunted, but I wasn't sure I believed them. But that night, the hairs on the back of my neck stood up and not a second later I very distinctly heard a voice whisper in my right ear. I couldn't make out any words; it was just whispering. But it was really, really spooky and my skin crawled in waves from the top of my head downward. Never liked being in that balcony after that...
I have lots of second-hand stories, but that's the only thing that has happened to me.
ETA: I don't count visits from family members as ghosts. That's more of a spiritual connection to individuals than "haunting," and I fully believe they can pass back and forth from this world to the other. I think of ghosts as spirits that are stuck, the ones who give us the creeps and disrupt our lives.