Indian Burial Grounds - May be hard to come by in some areas, but if you have authorized access to one of these(or if it's in the woods somewhere), definitely give it a shot. I've heard many stories of mysterious paranormal activity happening at these areas(Though I've never been to any, yet). Remember be respectful and try to do your best not to disturb that in which dwells within. Oh, and take lots of pictures!
Cemeteries - This is probably the most common place people search to find evidence of ghosts, demons, whatever else. The older the cemetery the better. It's probably in your best interest to look up the history on the cemetery you plan to hunt at first(if possible)and to ask permission from the owner if you plan on searching after hours. Most cemeteries(if not all)have some sort of paranormal activity going on at some point, capturing anything paranormal usually is just a matter of patience in lots of cases, if you fail to capture anything paranormal the first time, don't be discouraged! try again at another date.
Abandoned Coal Mines - These are normally great for ghost hunts. As many mines have records of many accidental-deaths. Many spirits still haunt these locations as I found out first hand. They may be thinking that what they're doing is just going about their day of work prior to their accident or maybe they know you're there and want to be mischievous. Ask lots of questions records lots of video, EVP and take pictures. However, be very careful at a place like this, NEVER go under ground in an abandoned mine. Stay on the surface, be cautious of your surrounds and know where everyone else is on your team at all times! If it looks a bit too dangerous, go ghost hunt elsewhere.
Old Hospitals/Asylums/Nursing Homes - Pretty self-explanatory. Many patients have died here. Spirits may be lost and not know how to leave the hospital or they may have been attracted to an area or person that once worked there and took care of them. Again, do your homework and look up the history of the place first.
Old Hotels/Motels - Lots of people come here to stay a night or two, many of those people never leave the place alive for whatever reason(murder, natural death, drug overdose, etc). As a matter of fact there are many websites detailing many haunted hotels across the United States and the rest of the world. Just do some research before hand. A popular supposedly haunted hotel is the Stanley Hotel. This is just one hotel among many others out there that is haunted by ghosts.
Funeral Homes - The next to final resting place of the dead. There are many stories told of Funeral Homes being haunted. It is said that many spirits like to linger around the home during their procession, causing lights to flicker or mysteriously go out, doors to slam, even shaking the room, this is known as an "Earthquake Effect". However the majority don't want to perform a ghost hunt during a funeral-procession, so you can research the history on a lot of old abandoned homes, perform a hunt and you just may get similar results.
Prisons - Or any other location that held people as prisoner(concentration camps, slave camps, anywhere that brought pain, suffering and misery to a group of people. Alcatraz would be a great location to perform a hunt. One of my favorites though if you live close by and want to check it out is Moundsville State Penitentiary in West Virginia. There have been many ghost hunts here from many different paranormal groups. Alot have came back with excellent results.
Colleges/Schools - Most, if not all colleges have a history of paranormal happenings. In lots of cases, dorms-wings or rooms are the highlight of a haunting. Fire could have killed students and destroyed the dorm-wing or entire-building. This is just one of many ways that a college-student/employee could have been killed here. Again, just do your research and find out the ghost stories in your local college town and go give it a shot. Of course ask permission first.
Theaters - These are believed to be highly haunted. Many feel that spirits have a connection with the emotions expressed from the actors and the audience during a performance. Some ghosts may have been an actor or actress at some point at the theater it currently haunts.