Why do the men not want Hamlet to go with the ghost alone?

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The problem with a ghost in Shakespeare's Hamlet is that while it may actually be the benign spirit of the departed King, it might also be some kind of evil fiend or spirit. When Hamlet decides he will view the ghost and see if it speaks to him, he states:

If it assume my noble father's person,

I'll speak to it, though hell itself should gape

This suggests a second worry. Shakespeare and his audience were Christian, as was Hamlet. Ghosts and other supernatural phenomena were suspected by Christians of this period to be instruments of the Devil, and thus speaking to the ghost might be to risk one's immortal soul. 

The other issue, which Horatio states, is that the ghost might harm Hamlet:

What if it tempt you toward the flood, my lord,

Or to the dreadful summit of the cliff

... [or] deprive your ... reason

And draw you into madness?

Essentially, Marcellus and Horatio both think the ghost untrustworthy. Although they consider that it might actually be Hamlet's father, they worry that it might be an evil spirit assuming his form or it might be a spirit so changed by death as to have become evil. Another possibility is that regardless of the intent of the ghost, any contact with it might drive Hamlet mad.

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