Recommended reading
Haunted Places: The National Directory:... : This book is a great reference for finding some of the most haunted places in the United States. It includes listings for every state, categorizing the sightings by county. Not really a book to be read cover to cover since it's really more of a reference guide, and you'll probably only use it to check for hauntings in your state or county, but there are some great stories in here for every state. Highly recommended.
ESP, Hauntings and Poltergeists: A Parapsychologist's Handbook Basically what the title implies. This is a book written by noted parapsychologist Lloyd Auerbach, and basically covers theories of ESP, hauntings and poltergeists (I told you it was self explanatory!) and how to investigate these phenomena. There are also a number of case studies covered in the book. A good book for beginners as well as those well-versed in parapsychology. It's a little on the older side, but a good read if you can get your hands on it.
The Ghost Hunters Guidebook: A good beginner's guide to the basics of ghost hunting. Gives a little history of ghosts, definitions of different hauntings, details explanations of equipment that can possibly be used to detect ghosts, how to conduct investigations, and more. Good for those just starting out in the field of paranormal investigations or just anyone curious about the process.