When I was a graduate student at UC Santa Barbara, I used to study until quite late in the evenings, taking a break for a few hours in the late evening (usually around 10:00) to take a walk and clear my head.
One of my freuqnet haunts was a cliff overlooking the beach south of Santa Barbara Shores Park, off of Hollister Avenue in Goleta. One breezy night, it must have been in the Spring of 2004, I was walking out there by myself. As a walked on a pathway overlooking the beach, the wind picked up, and above the wind, I heard what sounded like a baby crying. I moved towards the sound, but no longer heard it. Assuming it was just the wind, I began to walk back towards my car, when, through the breeze, I heard it again. I wasn't as certain of the direction this time, so I walked back towards where I had thought the sound had come from previously. Again, the sound faded away, and I was uncertain. This time, however, I spent time looking for possible sources, never finding one. I eventually left, feeling rather unnerved.
Although I suspect that it was just the wind whistling through the trees, I must confess that I returned to the location on a number of nights and never heard the sound again.
Commentary: This is my own personal story. I debated putting this up on the site due to the fact that I am inclined to think that there was a perfectly mundane explanation for what happened - likely just something odd about the wind on that particular night. However, as I thought about this, I realized three things:
A) It has all of the markings of a classic ghost story (dark night, atmospheric location, weird noise)
B) Although I see no reason to believe that this sound was anything supernatural, years of collecting ghost stories has taught me that there are many people who would likely either assume that it was, or tell it as such because, hey, it does make a good story.
C) The story was a good place to point to a basic principle that is useful for others who are interested in these stories: that the fact that the source of the sound is unexplained doesn't mean that it must be supernatural or that it was unexplainable, simply that it was unexplained. In this case, I think that there was something unusual going on with the wind int he trees that night,a nd that this was the source of the sound, but it may be some other explanation as well. This is especially useful to keep in mind if you are trying to talk to someone who is not inclined to believe a story - the lack of a known explanation is not the same as no explanation being possible.
Anyway, so that is a personal experience of my own.
Sources: Personal Experience