Do you believe in spooks and spirits, or are you out to debunk all things "supernatural?" Either way, here are a few things to keep in mind while conducting your investigation!
Whether you're exploring with a few friends, or searching for the truth with a local ghost hunting group, your safety is always the first priority. Never go to a site alone, and always make sure you have permission to explore the territory. Carry a cell phone, and a light source such as flashlights or glow sticks. Identification is always handy, just in case you're questioned about your nocturnal activities.
All great ghost hunters carry a bag of tricks! Start simple, with pen and paper to jot down any unusual happenings. Next, a digital or 35 mm camera will help capture possible eeriness. A video camera can be helpful, too, just make sure your equipment has night vision. Extra batteries are a must, in case of extreme power drains. A basic household thermometer can help determine specific cold spots, although an Environment Meter is a more constant way to measure not only fluctuation in temperature, but light, noise and humidity as well.
Want to delve a little deeper into the haunted realm? An EMF Meter allows you to monitor fluctuations in electrical fields. Just make sure that you've done a thorough baseline investigation - you don't want to declare that you've found granny's ghost in the wall if its just an electrical outlet!
A dictaphone might catch EVP (Electronic Voice Phenomena) or ASP (Anomalous Sound Phenomena) in a secluded room, or if left running during your investigation. Are you in a place that's rumored to have wandering spirits? Set a motion detector in secluded areas, but remember - not all things that go bump in the night are ghostly in nature.
If you're hunting a specific phantom, trigger objects - items that spirits might choose to interact with - can be used. Just make sure the items are culturally relevant, not to mention within the appropriate timeline. Lizzie Borden isn't likely to know what to do with an ipod, right?
Don't forget your manners! Thank everyone involved with your experience, spirits included. Happy hunting!