You are of course refering to Act I scene 4, which is when Hamlet accompanies Horatio and Marcellus to see this Ghost that has struck such fear and disquiet into their souls. However, it is interesting that although Horatio and Marcellus clearly feel Hamlet should see this Ghost, they do not want him to follow it and go off by himself with it. Note Horatio's reasoning:
What if it tempt you toward the flood my Lord?
Or to the dreadful summit of the cliff,
That beetles o'er his base into the sea,
And there assume some other horrible form,
Which might deprive your sovereignty of reason,
And draw you into madness?
On the one hand, it seems rather strange that Horatio should suddenly have such doubts about the Ghost when before he was so struck by his appearance and similiarity to Old Hamlet that he felt Hamlet should meet him. However, on the other hand, this speech draws attention to the possibility that the Ghost might not actually be the Ghost of Hamlet's dead father, and that it might be some kind of mischevious spirit. This is a possibility that plagues Hamlet throughout the play as he seeks to try and work out the veracity of the Ghost's words. Perhaps therefore Horatio's caution is justified in advising Hamlet not to go with the Ghost by himself. If it were an evil spirit, it could indeed lead Hamlet to its doom.