to continue the debate:
Supernatural things are natural- but outside the realm of our understanding. humans have a tendency to categorize everything, and to have somethign that they cannot explain, much less place in a group, is annoying, so we created a category, paranormal, that we can lump all this into.
When human understanding improves (as it will, because knowledge can only grow as long as it is built on the past) then we will be able to expand and create more categories that will beter excplain the presence of ghosts and spirits. But for now, "the unexplainable" is the only catgory we can come up with- and it will have to do...