As far as I know, there is no convincing evidence of a ghost killing anyone, ever. That includes the Bell Witch.
On the other hand, I’ve heard first-person accounts of demonic attacks resulting in the death of a victim. Demons aren’t ghosts. (Aliens aren’t ghosts, either. These are completely different entities.)
Be cautious about the locations you investigate. If you may have encountered a demon or other malicious entity, get professional help immediately. (Don’t “wait and see what happens.” Demonic attacks aren’t anything to fool around with.)
Ghosts are a small part of the unseen world. Some locations — including Vale End Cemetery in Wilton, NH (USA) — are haunted, but they’re also visited by other kinds of entities. Some of them are dangerous.
Never visit a site that might have ghosts, just for “a good scare.” The scarier the site, the more dangerous it might be.
(If you want a scare, go to a theme park with scary attractions, or a commercial “haunted house” at Halloween. Take part in an organized, public, ghost hunting event. Or, watch a scary movie with the lights out.)
Many paranormal researchers carry protective talismans. Some also use spiritual protection such as prayer or rituals. That’s routine both before and after a paranormal investigation.
Generally, those are personal choices that do not involve the entire team.
Many teams gather for a moment of prayer or to request spiritual protection. If you’re uneasy with that, speak up.
If a site is frightening, leave. Don’t even step through the gate or the front door. You shouldn’t be there. Maybe no one should.
If you feel nervous at a site, there may be a very good reason. If you feel unreasonably frightened at any time during an investigation, leave immediately. That’s especially true if the feeling seems to hit you “all of a sudden.”
Demonic threats and malicious activity are rare. You are unlikely ever to encounter them.
Nevertheless, every haunted site has risks. Follow your gut instinct. If you feel uneasy about anything during an investigation, say something.
In many cases, it’s in your best interest to leave right away.