Photography: One of the most common methods of trying to capture paranormal activity. Photos are taken and then analyzed for anomalies such as orbs, unusual shadows, or previously unseen apparitions.
EMF Meter: This is used to measure the electric magnetic current in the air. A possible sign of a ghostly presence would be a spike in the reading.
Thermometer: One sign of possible paranormal activity is a sudden and unexplained drop in temperature.
Audio Recorder: Use of audio recordings can collect EVP's or Electrical Voice Phenomena. These voices are often believed to be disembodied voices or the voices of ghosts and spirits.
Thermal Cameras: Again, a drop in temperature is often thought to accompany paranormal activity and thermal cameras can capture and record any temperature variations that can later be compared to photographs or video of the same location.
Ghost hunting has become really popular with shows like Ghost Hunters highlighting the methods of a proper paranormal investigation. It really makes me want to go out and explore some of the locations around me and from my books such as the Battle of Corydon site. I'm not sure which tools I'd use, but sometime I'm going to have to go out there and at least snap a few pictures.
What haunted location would you love to investigate or use some of this stuff at?