Without question, almost all of the "ghosts" in The Great Divorce suffer because of their choices. That is the moral of Lewis's allegory. Humans are allowed to choose whatever eternal destination they want. The greatest tragedy of all, as presented in the work, is that many of the humans do not even realize the gravity of their choice or that they are suffering because of their choice, not the choices of others or fate.
In Chapter 9, Lewis quotes Milton by saying that ultimately humans who make the "right" choice will say to God, "Thy will be done," but humans who make the "wrong" choice will hear from God, "Thy will be done" and will spend eternity never being satisfied in Grey Town.
Specific examples of characters suffering include:
1. The Fat Ghost--he chooses to take the bus back to Grey Town rather than stay in "Heaven" or a place where murderers are accepted. He puts more importance on outward, visible sins than upon his own internal selfishness and how it affects others.
2. Michael's mom Pam is probably the most pathetic sufferer because of her longing to have her dead son back. She chooses to return to Grey Town and continue to mourn her son's death rather than exercise faith to stay in Heaven where she has the opportunity to see him again.
If you look at each of the ghost through the narrator's eyes, you will see in each chapter that all of them suffer in some way because of their own decisions.