שדים

מגילה דף ג,א

והכתיב (יהושוע ה) ויהי בהיות יהושע ביריחו וישא עיניו וירא והנה איש עומד לנגדו [וגו'] וישתחו <לאפיו> והיכי עביד הכי והאמר רבי יהושע בן לוי אסור לאדם שיתן שלום לחבירו בלילה חיישינן שמא שד הוא שאני התם דאמר ליה כי אני שר צבא ה' ודלמא משקרי גמירי דלא מפקי שם שמים לבטלה

The gemara here is trying to prove what is more important learning torah, or service in the temple. It brings the case when Joshua was visited (in the night?) by the mysterious 'captain of the hosts'.

As a side point the talmud asks how comes Joshua calls out to him? Since Rabbi Yehoshua Ben Levi says its forbidden to greet your friend at night because we are worried it might be a shed (spirit / ghost / devil).

It then says its different in this case because the mystery man says I am the 'captain of the lord's hosts'

The next question is - obviously being ghoulies - maybe they were lying? Answer being:
We have learnt that they don't take 'heaven's name' in vain.

There's various problems to square away here concerning ghosts in general for rationalists. The Meiri and the Rambam manage to explain them away - using a combination of generic bad things, evil people, the evil inclination and just plain dreaming. I don't have the sources for it in this case though.

As I vaguely remember the Meiri's general handling of the problem is that they were psychological and people believed in them, and the Rabbis limited their existence by saying what they could and couldn't do.

I personally just take comfort from the fact that if I hear someone using gods name it's guaranteed not to be a ghost!