Not the whole town, but my sister and I stayed at the Saint James Hotel in Cimarron, NM for two nights while we were doing a somewhat quirky tour of the southwestern US, and it was fantastic. They've got this sealed-off room (because supposedly it's just too haunted) and you can push the door a little ajar and see a vanity with all these old bottles and other sundries on it, all suitably covered with a thick layer of dust and cobwebs. I admit one night we got a little tipsy in the saloon downstairs (which has original tin walls and ceilings that have a couple of bullet holes in them, just to add to the charm) and were peering in and then heard a floorboard creak and then some clinking glasses that sounded like it was coming from in the room and we got suitably freaked out. I don't at all believe the hotel is haunted (we were a bit drunk and looking to be scared, after all) but it's a really fun place. Plus it's right on Valle Vidal which has some of the most beautiful hiking in northern New Mexico, so even if you don't see any ghosts it's in a lovely area.