Ghosts have a tendency to be given famous identities, perhaps because they are commonly seen or felt in places which have long and somewhat shady histories. 

Take, for example, the Tower of London – it is said to have many ghosts, many of whom have been attributed to long-since passed historical figures.  Anne Boleyn, for instance, is said to haunt the Tower of London, as is Lady Jane Grey.  Both were executed in the Tudor period –

Anne was accused of witchcraft and adultery and was essentially murdered by her husband King Henry VIII; Jane Grey meanwhile was executed after being placed on the throne following the death of Henry VIII's son and successor, Edward VI.  Oliver Cromwell, another famous figure from British history, is also said to have a ghost which wanders the halls of his old home in Ely.  In more recent times, the ghost of John Lennon has also been reportedly seen or experienced by a number of people, including Paul McCartney.  Perhaps the most interesting 'famous' ghost is one which has no name at all - the drummer of Edinburgh Castle.  This ghost is said only to appear when Edinburgh Castle is about to be attacked, and thus has not been seen for many decades.