Rottnest Island has been a favourite of mine... on a school camp we were told a story of some guy called "Kelly Murphy" who haunts the island.

Not sure on the details, apparently he fell or was pushed to his death from one of the lighthouses on its open day.
Can probably get more details from the historical centre over there.

Half of Rotto was built by convicts, and there is a gun battery with underground tunnels with a 'haunted story' attached.


But anyway, I am also interested in all this stuff. Hearing ghost stories, or watching 'scary' movies is no where near as good as being there!