Everything that is outside of our normal world, things you can't explain, and investigate, phenomena that fly under the scrutiny of the scientific community, and is regarded, at best, as not real.
Ghosts, paranormal activity, UFOs, hauntings, sightings, and poltergeist activity.
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The main problem with all this is that once we explain why it happens, it's not unexplained, or unexplainable anymore. The paranormal becomes just normal, the UFOs become just FOs. It's a paradox. As long as we don't know we don't know. But when we know it's not paranormal at all and the fascination for the strange events fades. 
From that point of view, nothing out of the ordinary can or could ever exist. And most of the time, they actually don't. Trying to find solid evidence for spooky sightings, and haunted places almost always leaves you empty-handed. There just isn't any substance.
But then again... Every now and then, we hear about really strange, documented activity...