I don't watch them due to lack of time and usually not seeing anything substantial, but I've loved ghost and paranormal studies since I was very very young (i.e., 7-8 years old). "In Search of" was one of my favorite shows growing up.
I would like to understand and even believe, but so far the evidence is ambiguous if not dubious.
And yeah, I can get very freaked out in the right (err, wrong) environment. I grew up next to a 200-year-old cemetery to boot; at night, with the moon out, I could look out and see all the shadows of the tombstones. Worse, we had a dog, and if I walked her late at night, I'd have to walk the whole length of the cemetery as part of doing the rounds... some nights I was okay, some nights I would freak and run her the whole way back to the house.