Ghosts in Shakespeare:  Hamlet
The Tragedy of Hamlet, Prince of Denmark, full text online.  Full video (PBS, starring Patrick Stewart. 1 hour 41 minutes) 

Understanding the role of Caesar requires focus on Shakespeare's other ghostly manifestations.  From the paranormalist perspective Hamlet's ghostly encounter seems most plausible.  The entity appears in the form of the dead king.  He has a nightly ritual of walking about his former castle.  He is seen by the guards and then by the skeptical Horatio.  The ghost refuses to speak to anyone until Hamlet sees and invokes him to talk.  The spirit of the father and his still living son, at Hamlet's bidding, have quite the conversation.  The ghost identifies himself as the murdered king, calls for vengeance (in a manner similar to the ghostly characters from dramas in the Middle Ages), and expects Hamlet to enact the revenge.  He alludes to a time left wandering the earth which ties the ghost to the aspect of Purgatory, which likely still circulated amongst the English audience in the form of folklore.  

Hamlet adds additional elements regarding the supernatural to this play: At the start of the play he sees the ghost and he is suffering the sadness of the loss of family, however, he also show traits of contemplation, cunning, and reason at the time he sees the ghost. His drive to fulfill the ghostly command for revenge leaves him mentally depleted at the end as Hamlet slides into obsessive madness and, ultimately, death.  The ghost's desire ultimately consumes the entire family, from the murderer to the avenger, to the innocents dragged into the fray.

​View a clip of the ghost that starts the play here: