Baron Empain's Palace

The history of the Baron's Palace is haunting in and of itself, however, the old Heliopolis gem is believed to be subject to a quite literal haunting. Neighbours witness the building's windows open and close at will and lights in rooms, despite the house having been abandoned for many years. Initially believed to be a go-to address for orgies and Satanic meetings, the palace is now closed to the public.
Baron Empain's story reads like a horror novel. After his widespread infidelity, his wife died in the palace after falling down the impressive spiral staircase of the main building. Having suffered from mental illness, his daughter passed away just a few years later. Her condition had made her sit in the basement for days at a time. A secret corridor beneath the building is said to lead to the Baron's final resting place adjacent to the Basilica. Who knows, maybe it's the Baron's ghost himself who is still haunting the premises?

The Valley of the Kings

Hosting a few hundred dead Pharaohs for the past 5000 years, the rumour that the Valley of the Kings is haunted should come as a surprise to no one. A pharaoh in a chariot has been seen roaming the valley as well as perceptions of strange noises such as footsteps, screams and shuffling without a source. Watchmen believe these are the spirits of the deceased whose tombs have been desecrated. Now they are looking for their treasures which are, largely, crammed in the Egyptian Museum a few hundred miles away.
On top of that, the "Mummy's curse" has made Tutankhamun's gravesite a creepy place. Upon financing the discovery of the site, Lord Carnarvon died before he could harvest the fruits of his investment due to an infected mosquito bite on his neck. The later inspection of Tutankhamun found a similar wound on the young Pharaoh. Howard Carter, the archaeologist who found the site, died due to chemicals used in the chamber after it was discovered. Hence, his greatest discovery was also his doom, spreading more superstition over the apparent curse on the tomb. These accounts are super scary albeit highly controversial.

The Great Pyramids

A haunted pyramid? Yes, of course! Many eye witness reports have recorded a man and his three children, dressed in clothes typical of the 1920s, roaming around the Great Pyramids looking for something. As we are telling a ghost story here, we're going to assume that he's searching for his wife and mother of his children.
The much creepier story surrounding the haunting of the pyramids is the emergence of the ghost of Pharaoh Khufu himself who is the proud owner of one of them. Dressed in traditional ancient Egyptian armor, he appears at midnight and walks the streets, visiting houses and telling their inhabitants to leave the area. If ghosts have unfinished business to linger around, Khufu has been very patient for many millennia now.