[Leigh Butler, Jonathan Berlinghoff, Jennifer Liang]

Where have we seen ghosts?

1. [COT: Prologue, Glimmers of the Pattern, 87]:
   

   ...a palace serving woman came running into the room with her skirts gathered almost to her knees. "Lord Dobraine's been murdered!" the serving woman squealed. "We will all be killed in our beds! My own eyes have seen the dead walking, old Maringil himself, and my mam says spirits will kill you if there has been a murder done!"

   Maringil was one of the Cairhien nobles Colavaere had murdered in her bid for the Sun Throne in LOC. Possibly this is just hysteria, but all things considered, probably not.

    

2. [COT: 10, A Blazing Beacon, 269-270]:

   Elayne's maid Elsie spots Lady Nelein, Lord Aedmun's deceased grandmother, in a hallway. Elsie shrieks, Elayne embraces saidar and whirls around, but the spirit is gone by the time Elayne can look around the corner to see if anything is there.

    

3. [COT: 26, In So Habor, 584]:

   While Perrin and Co. are finding weevils in the barley sacks someone again shrieks outside, and Kireyin and Seonid see a man walk through a wall.

   [Seonid, to Perrin]: "The dead are walking in So Habor. Lord Cowlin fled the town for fear of his wife's spirit. It seems there was doubt as to how she died. Hardly a man or woman in the town has not seen someone dead, and a good many have seen more than one."

    

4. [COT: 29, Something Flickers, 633-634]:

   Mat is walking with Tuon and Selucia and sees a crowd of people on the road to the town: "Staring straight ahead, they moved so purposefully they seemed not to see anyone in front of them." Tuon and Selucia see nothing. The people disappear after a few moments as well, and Mat thinks that he doesn't remember any of them breathing mist in the cold.

Have we seen them anywhere before COT?

It seems so. We may have seen one as far back as TEOTW, when Ishy/Ba'alzamon shows Rand the vision of Kari al'Thor [TEOTW: 51, Against the Shadow, 639]. The scene's a little long, but worth quoting in its entirety:

Egwene and Nynaeve blurred, became wafting mist, dissipated. Kari al'Thor still stood there, her eyes big with fear.
"She, at least," Ba'alzamon said, "is mine to do with as I will."
Rand shook his head. "I deny you." He had to force the words out. "She is dead, and safe from you in the Light."
His mother's lips trembled. Tears trickled down her cheeks; each one burned him like acid. "The Lord of the Grave is stronger than he once was, my son," she said. "His reach is longer. The Father of Lies has a honeyed tongue for unwary souls. My son. My only, darling son. I would spare you if I could, but he is my master, now, his whim, the law of my existence. I can but obey him, and grovel for his favor. Only you can free me. Please, my son. Please help me. Help me. Help me! PLEASE!"
The wail ripped out of her as barefaced Fades, pale and eyeless, closed round. Her clothes ripped away in their bloodless hands, hands that wielded pincers and clamps and things that stung and burned and whipped against her naked flesh. Her scream would not end.
Rand's scream echoed hers. The void boiled in his mind. His sword was in his hand. Not the heron-mark blade, but a blade of light, a blade of the Light. Even as he raised it, a fiery white bolt shot from the point, as if the blade itself had reached out. It touched the nearest Fade, and blinding canescence filled the chamber, shining through the Halfmen like a candle through paper, burning through them, blinding his eyes to the scene. From the midst of the brilliance, he heard a whisper. "Thank you, my son. The Light. The blessed Light."

It has long been argued over whether this Kari was real or an Illusion created by Ishy, but Alan Ellingson points out that in that scene, "Kari never tells/asks Rand to join Ba'alzamon. She only asks him to help her. Ba'alzamon might have limited what she couldn't say but he [evidently] couldn't force her to say anything. Remember in Rand's dreams in TDR the people he trusted tried to kill him? Why wasn't Kari like that? Why couldn't Ba'alzamon make her say something more... appealing to Rand? Second, she refers to him as 'Lord of the Grave' and more importantly 'Father of Lies'. Yes, have your chief witness call you a 'Father of Lies' in front of the guy you are trying to convince to join you. Third, her last words are 'The Light. The blessed Light.' Why would Ba'alzamon make her say that if she were an illusion he created?"

But wait - there's more! We originally thought that the image of Gedwyn and Torval coming up the stairs of the inn in Far Madding, minutes after Rand had found them dead [WH: 33, Blue Carp Street, 615-616] was an illusion created by Fain, but that really doesn't make any sense when you think about it. Gedwyn and Torval aren't shown brandishing swords, or doing anything that might be considered a diversionary tactic, which presumably would be Fain's purpose in creating them; they're just walking up the stairs with their cloaks over their arms, arguing. After Rand slashes at them with his sword, they disappear. In light of events in COT, it's probably safe to assume that Fain had nothing to do with the apparition, and that Gedwyn and Torval were ghosts. [Steven Cooper]

So it seems that the ghost phenomenon was at least obliquely foreshadowed prior to COT.

So what's this all about, then?

The walking dead are a sign that Tarmon Gaidon is near.  Several characters bring this up as evidence that the end is nigh.

Tuon: "Do you know nothing Toy? The dead walking are a sign that Tarmon Gai'don is near." [KOD 10: A Village in Shiota]

Verin: "It will come soon. According to everything I've rread on the subject, the signs are quite clear. Half the servants have recognized dead people in the halls, people they knew alive. It's happened often enough that they aren't frightened by it any longer. And a dozen men moving cattle to spring pasture watched a considerable town melt into mist just a few miles to the north." [KOD 18: News for the Dragon]

Egwene: "Egwene was able to discuss it with Siuan in Tel'aran'rhiod, so she knew that these things were signs of the approach of Tarmon Gai'don." [KOD 24: Honey in the Tea]

The ghost seem related to the same phenomena mentioned repeatedly in the books: the Pattern itself is unravealing and the fabric of reality is coming undone. Further evidence is the hallways of the palace in Caemlyn and the White Tower shifting [KOD 14: Wet Things], [KOD 24: Honey in the Tea], [TGS 6: When Iron Melts], villages appear and disappear [KOD 10: A Village in Shiota], [KOD 18: News for the Dragon] and whatever was going on in Hinderstap [TGS 28: A Night in Hinderstap], as well as other unexplainable events. The characters all seem to agree that this is evidence that the Last Battle is emminent.

Anything else interesting?

Jason Denzel points out that practically every time dead people are seen, it's at a crossroads, and at twilight (for slightly broad values of both terms). Elayne's maid sees Lady Nelein at the junction of two crossing corridors, at dawn. So Habor, where ghosts are rife, is itself a crossroad over the river, and the incident with the man walking through the wall happens at dusk. The sun is rising when Mat takes Tuon shopping and sees the apparitions, though here only a road is mentioned, no crossing. It's not said where exactly the Cairhien servant saw Maringil in the Prologue, but it's reasonable to assume that it was probably also in a corridor, and it was in the morning. It's not ironclad, but it's definitely a pattern.