While I haven't experienced any of the things other people have mentioned, I've seen the Marfa lights at least 1/2 a dozen times. Just weird lights off in the distance that appear and disappear.
On the Texas A&M campus we're supposed to have several haunted buildings, most notably the Animal Industries building. Decades ago it was were all the meat on campus was processed. One night a man working alone in the basement sliced open his leg and bleed to death before being able to get out of the building and find help. Many people swear they've seen his ghost in the basement and in front of the freight elevator which he where he died. I had a class in there in 1999 and never saw anything unusual.
about 12 years ago my 14 month old daughter died in her sleep of SIDS. Needless to say I was grieving pretty hard, but I WASN'T crazy.
well for a while after she died, I'd hear things...like..I'd be lying away at night with the lights on reading a book and hubby snoring away next to me and hear very definite foot steps walk around the bed, stop by my head and turn and walk around to hubby's head and do it again and again. One morning(2 a.m.) hubby heard "someone" jumping in our daughters crib(which was in the next room.) for about 15 minutes(he timed it on the clock radio). Lots of little things like that happened for quite some time. I totally believe!
At the old Chemistry Building at TTU, a woman with the janitorial crew encountered a student who was trying to steal an advance copy of the exam. I think he'd come in through an underground tunnel. He decapitated her and left her body sitting up behind a desk or at a lab counter. It's said she haunts the building and the tunnels as well, particularly around finals and midterms.