Jerome Grand Hotel and Asylum Restaurant

in Bisbee is haunted

The Asylum in Jerome is haunted

Oatman may have a ghost or two

Tombstone can't be a ghost town since you have to die to be a ghost and Tombstone is the "town too tough to die"

Since you are from New England and didn't give us all much to go on. So far the choices could be - if want true ghost towns would be:
Jerome  
Bisbee
Tombstone

but also could have gone out to Rawhide - when it was in Scottsdale  

Ghost tours here in Phoenix have included
San Carlos Hotel
Orpheum Theatre

You are welcome to contact me if need more help - if you provide a little more info - like what you saw/did there would help narrow it down.