Theaters are places of dreams made and broken and so would seem a natural for such things. Though no one has ever spoken of a ghost at the Fillmore (where you would expect one) many people (who work at both) have had experience at the Warfield. I've never seen it, but the people who tell me they have are otherwise pretty level-headed types.
First, down in the basement, during the 1920s there was a speakeasy. Big one. And I know people who have felt something vague 'reach out and touch them' or 'brush up against them' when they have walked through there.
I know of at least 3 people who claim to have seen the following also. They were walking across the stage, and out of the corner of their eye they see someone sitting way high up in the balcony house right. Its a man, in kind of a 1930s (the Warfield was built in 1922) trenchcoat and fedora and he is smoking. Now they only see it out of the corner of their eye, and so they turn to see it and he is gone, but the cigarette smoke is still hanging in the air. One of them went up there and and they insist they smelled cigarette smoke when they got there (its a good 90 sec. to to minutes to get from the stage up there) and since there has not been indoor smoking in Cali for well over a decade now, its pretty distinctive.
But not knowing what it is does not make it supernatural, it only makes it something we don't yet know or can not yet explain. Might well be a very natural deal at that.