Oh, I'm a ghost and I'm OK; dodge arrows all night 'n' clash swords all day!

[the guy who be short]

I'm unable to gather quotes at the moment as I'm in a bit of a rush, but:

Originally Posted by Eomer

To make it Tolkien-related, I remember him saying somewhere that the Ringwraiths existed only partially in the world of Hobbits, and partially in another world (a shadow land?) Is this where the ghosts are flitting in and out of?

I think I recall that the "Shadow-land" was a type of parallel spirit world. The Elves dwell partially in it, as do the Wraiths and presumably these ghosts.