Former pro musician here.
I've got two, both are in Ohio, USA.
First is the Alrosa Villa night club in Columbus, OH. In 2004, Dimebag Darrell from Pantera was killed there by a crazed fan who was apparently angry Pantera had disbanded.
Every venue has a "vibe," something you can feel from its past, and it affects you. This one was unlike anything i've felt before or since. It was this feeling of "hurt" that made you feel really heavy and sluggish. Everyone in every band seemed to feel it. Everyone in all of the bands were just kind of dragging, that's the best way to describe it.
In 2012, I met Vinnie Paul, Pantera drummer and Darrell's brother, at a festival we were both playing. We took a few pictures and had a good time. He was really big on bashing Myspace for whatever reason.
Last year, he died. I've heard from some people about Vinnie's death, and it is some of the most depressing shit i've ever heard. He was super encouraging to young, getting-into-the-big-time me (I was the youngest in the band by several years,) and he was one of the first real "rockstars" i'd met. I didn't know him personally or anything, but he ended up meaning a lot to me.
Second has to be the Phantasy Theater. Anyone in or around Cleveland has probably been to one of the Phantasy-complex venues at some point. The Phantasy club, the Chamber, the Symposium, and least likely, the Phantasy Theater, which is the biggest of the four and ceased regular operation in the late 80s. Overkill's "Fuck You and then Some" live album was recorded there.
Compared to the rest of the Phantasy venues, it's massive. I co-managed it for about three months when an investor attempted to reopen it as a competitor to the Cleveland House of Blues.
It was a nightmare from the start. The owners had used it as storage for years, so it was full of junk that needed to be moved out. It had no air-conditioning and an ancient, barely-functioning heating system. The doors "locked" with wooden bars, and there's some legal shit I can't get into, but it was perhaps the worst investment a person could've made at the time. Nevertheless, we managed to host a few shows (mostly a production of Evil Dead: The Musical) before the place simply became too expensive to keep up with because everything was outdated and efficient.
The creepy shit was something else.
It took months of work trying to get the place functional and visually appealing to patrons. During that work, a LOT of creepy shit happened. The place has a reputation for being haunted, and was even featured on an episode of "My Ghost Story."
We had one sound-crew guy quit after he saw a ghost running up the stairs after him. Another refused to come back after hearing a loud series of bangs on walls when he was in the bathroom.
My experience was slightly different. The worst was when I went up to the projection booth.
The place was built in the late 1910s, and was a film theater for a few decades. Naturally, it had an upstairs projection booth where one would run the big old film projector, which would shoot onto the screen overtop of the audience.
This was a tiny room. I went upstairs to explore, and found the projection booth with branches stapled to all of the walls. There was a single newish chair in the room, looking out over the main audience area towards the stage. Me being me, I went in and sat down.
I heard no footsteps, but turned around and saw someone walk past me into the room to the right of the doorway. I hadn't been in there yet, and we had a LOT of people working on this project. I don't remember what the person looked like.
I got up and went to see who it was. That person had walked through a padlocked door without breaking stride.
I got out of that ordeal in February of 2012, and am very happy with that decision.