Technically this was the first of this specific shot. But I have made a hobby of photographing "the supernatural". Here's some of my tips and tricks:
Find a scene with as few distractions as possible, especially "modern" ones such as cars, street lights etc.
Shoot or transfer to black and white, color is a distraction and takes away from the mystery and eeriness.
Use as little light as possible and set to underexpose. These photographs should not be "technically correct."
Set your camera at it's highest ISO and contrast.
Experiment, practice and have fun.
I have more in-depth techniques, but i won't waste your time going into the details here.

Here's an idea I've had some fun with to get you started.
Use any house you have access to, your own, a friend's, family, any house. Shortly after sunset turn on one light in the house, preferably an upstairs one. Set your camera up in the front yard, getting as much of the house in frame as possible, (watch out for distractions). Next, have someone stand in the window of the room with the light on. Open the camera shutter and have them move away from the window about halfway through the exposure. Experiment with the exposure times until you see the following:
General shape and texture of the front of the house, but not detail.
A ghost in the window.
Ideally, but not required, the person in the window should have long, dark hair and hold a light to the front of their face. The house should face east, this will create a light halo around the house. Bare, leafless trees always add to the mystery.
I once did this shot of a friends house while I was house sitting and left a print of it on the counter.
They haven't ask me for a favor since.