My advice would have been two-fold: 1) Ghosts can't hurt you, and 2) try to get some video!
National Geographic Traveler Andrew Evans who posts his missives under the "Digital Nomad" banner was apparently something of a skeptic when it came to ghosts. Right up until the night that he spent alone in a huge, empty, haunted home (now a bed and breakfast) in Louisiana. This is an amazing story, well-written, concise, forthright, and fascinating.
The first sign of trouble comes when Evans learns that he will be staying in the giant mansion alone. "As long as you say it's not haunted," he jokes, but the housekeeper responds by looking "a little concerned." She says it's not haunted, and then she says there are stories but no one has seen anything, and then finally she says that SHE has not seen anything.
(Later she mentions that she once attended a Halloween party dressed as the ghost which is said to haunt the house. Which is pretty far from where she started, with the "not haunted" bit. I would have been pretty annoyed with her, if I had been Evans.)
Well of course not - she doesn't spend the night there. And you have to wonder if that's just the arrangement, or if maybe she used to live at the mansion but moved out because she couldn't handle it. In fact, far from the breezy appearance she tries to put on, it eventually turns out that she is completely terrified of ghosts. (As is her son, who has refused to set foot on the property ever since an incident there that he won't talk about.)
In the case of this property, the ghost is said to be that of a little girl who was once forced to live in the small cupboard beneath the stairs. Evans' experience seems to bear this out, because the activity he experienced definitely sounds like the work of a mischievous child. He spent the night wide awake, Twittering and Facebooking with his social circle, listening to the sound of feet running down the hallway and plates being rattled.
In my opinion, the only thing worse than being kept up all night terrified of a ghost would be listening to the well-intentioned advice and opinions of random internet strangers on the matter. If you have ever heard footsteps where there should not have been footsteps, you know full well that it isn't the sound of the house settling.
(Perhaps worse were those who believed him, and who urged him to get out or call the police!)
My advice would have been two-fold: 1) Ghosts can't hurt you, and 2) try to get some video!