I think I'd like to haunt a theatre. That'd be pretty kickass - seeing new plays throughout the year, and whenever I got bored of performances I could turn right around and watch the audience instead. All those faces in the dark...it'd be great.
Of course, it'd be hard to resist screwing around with the people on stage and in the audience. I'd be an interfering sort of ghost, the kind that moves chairs when people are about to sit down, pinches someone in the side, and whispers in your ear.
Maybe the Oregon Shakespeare Festival in Ashland would be a good site for haunting. To some degree, of course, it would depend on how far I could travel. They have three stages there - would I be able to haunt all three, or stuck at a single one? I bet that would get pretty lonely sometimes, if I was confined to a single room - especially during the off-season. But if I could wander around the whole area, and poke my nose in the gift shop or hang out in the offices listening to the artistic director plan the next year's line-up, that wouldn't be too bad at all.