The ghost of Anne Boleyn has been seen several times on different locations. Personally, I believe that there is something between heaven and earth that we cannot explain and when someone suffered a death such as Anne's it is likely that she would return.
Tower of London:
Anne Boleyn's ghost has been seen several times at the place of her execution. One of the most interesting ghost stories from the Tower of London was one witnessed by a Captain of the Guard. He saw a light flickering in the Chapel Royal that had been locked up for the night. To find out what was causing the light, he climbed up a ladder and saw something unbelievable. Inside a procession was in progress - including lords and ladies wearing old clothes. At the head of the procession was a woman whose face the guard never saw but he recognized the clothes from one of the portraits of the beheaded Queen. Then the procession disappeared.
Also, Anne Boleyn's ghost has been seen walking from the Queen's house to the Chapel of St. Peter ad Vincula and to her grave.
Allegedly the former Queen still visits her childhood home where she is seen walking across the bridge over the River Eden. She appears under the oak where she was courted by Henry VIII.
As one of the longest inhabited castles in the world it is to be assumed that some former residents are still there. Anne Boleyn has been seen standing in the window of Dean's Cloister. Another Anne Boleyn-story from Windsor Castle says that she has been seen running screaming down a corridor - sometimes clutching her head.
Hampton Court Palace:
Anne Boleyn has been seen at Hampton Court Palace wearing a blue or black dress - she is reported to be headless when appearing.