Music Hall is supposedly haunted. I recently saw the rerun of a WCET special that interviewed a few people who had personal experiences with the "ghosts." Several paranormal themed websites such http://www.hauntedhouses.com/states/oh/cincinatti_music_hall.htm discuss the hall's angry voices, laughter and manifestations.
Yes! There's a great Underground Haunted tour that takes you through Over-the-Rhine and gives you great background on the area as well as plenty of ghost stories. Many people even have paranormal experiences on the tour. It's called "Queen City is Haunted," I'll give you the website: http://www.americanlegacytours.com/?q=tours/QueenCityIsHaunted/.