In each Harry Potter novel, we learn a little bit more about the ghosts of each house.  Of course, there are ghosts which do not belong to any house in particular.  The are the headless horsemen are featured in one novel and Moaning Myrtle is featured in several.  There is also the constant appearance of Peeves the poltergeist who does not belong to a house.  In general, each house is associated with one main ghost.

Gryffindor's ghost is Sir Nicholas de Mimsy-Porpington, otherwise known as nearly headless Nick.  We learn a little more about this ghost than some of the others because he is part of the same house as the main characters.  He is a friend and confidant of Harry, Ron, and Hermionie.  Harry even attends Sir Nicholas's death day party one year.  

Hufflepuff's ghost is the Fat Friar.  The main characters don't often interact with the Fat Friar alone.  He is usually in a scene with many other ghosts, therefore we do not know much about him.

Ravenclaw's ghost is known as The Grey Lady.  Since Harry interacts with her one on one in an important scene, we learn a little more about her.  She was the daughter of the founder of Ravenclaw house. She defied her mother and ran off with her diadem.  Her mother sent a man deeply in love with her to try and bring her home.  Unfortunately the meeting went awry.  The daughter was killed, the man killed himself out of remorse, and the diadem was lost.

The man sent out after Helena Ravenclaw, aka the Grey Lady, is the ghost of Slytherin house.  He is known as the Bloody Baron.  He is usually one of the only ghosts referred to as intimidating.  His robes are covered in silver blood and he wears great chains as punishment.  We can see the respect the Bloody Baron commands since he is the only one able to control Peeves.