Walking Spirits

Not only does the Catholic cosmology allow for the existence of purgatory, but the ghost of Hamlet's father claims to be in such an afterlife.

I am thy father's spirit,
Doomed for a certain time to walk the night,
And for the day confined to fast in fires
Till the foul crimes done in my days of nature
Are burnt and purged away.
But that I am forbid
To tell the secrets of my prison-house
I could a tale unfold whose lightest word
Would harrow up thy soul, freeze thy young blood,
Make thy two eyes like stars start from their spheres,
Thy knotty and combined locks to part,
And each particular hair to stand on end
Like quills upon the fretful porpentine.  (I.v.9-20)

In his 1572 treatise, Of ghostes and spirites walking by nyght..., Ludwig Lavater, comments on what he considers to be a Catholic belief that walking spirits are either a manifestation of good or bad angels, or of souls residing in purgatory.

Papists feigne that soules return to earth againe.

Farther they teach, that by Gods licence & dispensation, certaine, yea before the day of Iudgement, are permitted to come out of hell, and that not for euer, but only for a season, for the instructing and terrifying of the lyuing. Heeruppon they recite diuers kinde of visions, that certaine Clarkes, and laye persons being damned, bothe men and women, haue appeared to their ghostly fathers, and others, and haue opened vnto them the causes of their damnation: all which to rehearse heere were lost laboure.  --Lavater, p. 106

Whensoeuer such visions of spirits are shewed, men should vse fasting and prayer or euer thay demanund any questions of them: which (say they) in the x. and xj. chapters of Daniell, is read to haue ben done by Daniell him selfe. --p. 107

The Papists in former times haue publikely both taught & written, that those spirits which men sometime see and hear, be either good or bad angels, or els the soules of those which either liue in euerlasting blisse, or in Purgatorie, or in the place of damned persons.  --Lavater, II,ii,p.102.

A tongue-in-cheek commentary on the popularity of these beliefs can be found in Reginald Scotts book, The Discoverie of Witchcraft. In this text, he not only lampoons the conservatives for their belief that ghosts are the walking spirits of the recently departed, but also the reformers for their belief that visible spirits are hallucinations planted in the minds of men by demonic powers.

Of visions, apparitions, and imagined sounds, and of other illusions, of wondering souls: with a confutation thereof.

How manie stories and bookes are written of walking spirits and soules of men, contrarie to the word of God; a reasonable volume cannot conteine. How common an opinion was it among the papists, that all soules walked on the earth, after they departed from their bodies? ... God in times past did send downe visible angels and appearances to men; but now he dooth not so. ... Where are the soules that swarmed in times past? Where are the spirits? Who heareth their noises? Who seeth their visions? Where are the soules that made such mone for trentals, whereby to be eased of the paines in purgatorie? Are they all gone into Italie because masses are growne deere here in England ?
  -- Reginald Scot, The Discoverie of Whitchcraft, XV, xxxix, pp.268-269.