I can't believe no one has told the story of the SAE's at Mizzou... I might not have these exactly right, but this is what I've heard-
The house used to be war hospital during the Civil War. As a result, many people died in the house and there is a mortuary in the basement. EVERYONE claims the house is haunted. One night, all the boys were in the kitchen having dinner, when one who was facing the window looked up and went pale. Outside (in the middle of the night) was a cavalry of horses and soldiers parading up the lawn. This is totally true, it was even on Unsolved Mysteries!!
Also, every year the president takes the pledges in the basement for a night in the mortuary. One night, the guys went down there and locked themselves in for the night. The next morning no one could find the president or the pledges. An active found out later that that morning, the president and all pledges had gone to Greek Life and quit the house. To this day, no one knows what they saw.
Each year, SAE holds a 'haunted house' philanthropy that plays into the idea that everyone's scared of their house!