I actually have experienced a 'poltergeist' once. That was when I was just a kid, and therefore long before I became an atheist, but the experience was real either way. The problem is that since then, I've come up with a perfectly reasonable explanation for how it may have happened. I believed it was a 'demon' (ghost) back then because in addition to the experience itself (and my JW belief system at the time), I then was told that this had happened in that house before, and then a story of some fortune teller 'witch' who had once lived there...
Not sure what to make of it, since I can't go back to verify if there is a totally reasonable explanation (test my 'hypothesis') or not.
Have never encountered anything like it ever since, though. Ironically, that incident kept me a believer for some time longer than I'd been if I hadn't experienced it, 'cause I figured "Well - I had that experience, so at least there's something there".
To the extent I believe some of these kinds of stories are real (sounds and visions of 'spirits'), I'm thinking more along the lines of some 'temporal shift' occurring in certain spots; some anomaly in space-time (although highly unlikely), or some echo from another dimension. Not other living beings from another dimension, but a 'feedback loop' from things that have happened in this dimension, "bouncing off" another dimension back into this one perhaps, and 'replayed', like a 'metaphysical tape recorder'. Or perhaps more likely, some areas may have some kind of energy (could be as simple as electromagnetism and/or infra-sound) that triggers various regions of our brain (some experiments seem to suggest this as a possibility at least). Or of course, when it happens to one individual, can be some mental problem or imbalance of some sort.
But there are probably hundreds of different causes behind all the experiences people say they've had, everything from mere coincidences to something not so easily explained.
As for the kind of 'demons' I was taught about as a JW, they have silenced completely since I left the beliefs behind. I used to pride myself in being able to 'sense' demonic activity (like when hearing a certain type of rock music for instance...) and would of course be scared half to death by 'demonic' movies. But nowadays it's completely silent. There's no one hiding behind the shower curtain either (which is a shame, come to think of it ).