John Marston's Ghost is an unlikely paranormal phenomenon that is rumored to make an appearance in Red Dead Redemption.
WARNING: SPOILERS BELOW
In the mission The Last Enemy Shall Be Destroyed, during the final cutscene, John is left to face a firing squad of U.S. Army troops headed by Edgar Ross. After he fires out a few shots with Dead Eye, the mob will gun him down.
Many players claim that after the events of this mission, players can encounter the ghost of John Marston. Many players also claim that Rufus, John Marston's pet dog, can also be found as he disappeared after the mission.