Minto Armouries in Winnipeg supposedly has a ghost. Rumour / legend has it that a troop shot himself in the head prior to being sent overseas for one fo the World Wars (WWI / WWII, I can't remember which), and his ghost walks the halls.
I thought I was a load of BS until I was Duty O one night about 1 1/2 years ago. Minto is one of the larger armouries in Canada, and the subterranean level is quite large. After I dismissed the Duty NCO & Cpl I thought I heard a noise in the basement before arming the alarm system. I wandered down stairs, turned on the lights, and wandered down the hallway to the rear ramp door to take a look. I turned off one set of lights, and went around the corner to check the doors on the old indoor range rooms. When I came back around the corner, all the lights were back on again. Now, normally this wouldn't phase me, but the light switches are about 200 feet apart, and you definitely can hear people when they are moving around in the corridor during work hours. I know I was the only person in the building, heard no sounds, and both sets of lights were on when I came back around the corner. I mentioned this to one of the older members of the armouries a few weeks later, and they mentioned the legend of the ghost. Walking down there late at night still gives me the creeps.
There is also another legend that one of the last public hangings in the west happened outside of the armouries around 1913 / 1914, but I think that is pure BS. Never been able to find a record of that.