I'll add my 2 cents here.
I have seen one - what I would call a materialized demon - the shape of a human but completely black and featureless. This was at night, the hall light was on and I was not asleep. I was only a teen when this happened and it freaked me out. It glided out the room and became a shadow on the wall.
I have also seen and experienced other supernatural phenomena. It is real. There is something out there.
Call it what you will.
The problem with "proof" is that the person and those accompanying him/her are the only witnesses to such things. They generally cannot prove their experience to others nor can they replicate it. The burden of proof is very high and that is why it is very difficult to convince an atheist that there is a spirit world.
I personally do believe in the spirit world - the inhabitants have feelings much like we do.