It would be difficult, if not impossible since we don't know for sure if there are ghosts. That said, here are some things to try:
1. Find a house or location alleged to be haunted. As a matter of etiquette, you should avoid studying politically sensitive areas, and you should have permission from the owners and any survivors if a tragedy is connected. If you cannot find a place alleged to be haunted, you could try places like cemeteries.
2. You should use various types of cameras, including traditional film cameras, digital camcorders, infrared cameras, etc. This would help rule out human intervention and explainable means, and would help clarify things if some cameras capture things and others don't. If you see "poltergeist" activity, make sure you film it if it is safely possible (eg., a chair comes hurling at you out of nowhere).
3. You should use cassette recorders at the location. Those claiming to be "ghost hunters" prefer traditional tape recorders using virgin cassettes.
4. If human intervention is suspected in a "haunted" location, you could install things such as trip wires rigged to alarms, photocell detectors, etc.
5. It would be good to have others with you when investigating. They should have their own equipment and take notes. That way, if you see something that is unusual, others might be able to corroborate.
6. Keep all your documents, recordings, and notes.
7. Optionally, if you are religious or spiritual, you could pray for protection while investigating. Chances are, you won't find anything or run into trouble, but if it is real, then you want to cover all your bases.
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