There is a small canyon about half way between Nederland and Ward on the Peak to Peak highway in Colorado. Used to be a mining area, and there were several shafts on the hill sides, both vertical and horizontal. The upper part of the canyon was just fine, day or night. Further down though, it would ger VERY creepy. I would always feel like I was being watched, and that my presence was most unwelcome. My friends would feel this as well. We only went down there during the day, NEVER at night. NEVER. Nobody ever saw anything "odd" though, just a feeling (we felt this before we knew about the mining shafts). A couple of years ago the Forest Service came in a closed up all the shafts for good, and the feelings have dissipated over time. This is the same site I commented on in the "Almost rode the lighting thread" here.
I've seen what I thing would be classified as Will-O-Whisp once, camping at the south end of South Park. A group of us were sitting around the propane heating mantle (no fires allowed that year), and off to the south, I spoted a spherical light moving through the trees, near tree top level. I could see it pass in front of some trees, and behind others, so it was not a low flying aircraft, and there was no engine noise. This glowing sphere passed into a denser stand of trees as I watched, and never came out. I have no explanation for it, and I've never seen it since, even though we've camped there since.