Actually spirits have shown up to. The Grey Lady, the spirit that had sexy fun time with Ray in the deleted scenes(that were re-used as Rays dream), The Scoleri brothers, and Vigo the Carpathian.
Also, if you count the 360/PS3 Video Game (Which I do because Dan considered it GB3 at the time, and Harold Ramis considered it more GB2.5) you have a ridiculous amount of spirits.
Oh, and the Train (that Egon believed to be the "old New York Central "City of Albany" that was accidentally derailed in 1920, killing over 100 people.") from GB2.
Going off of the game, there are such things as ghosts that have always been ghosts though.