Right, I've been doing this for a few years now and I've learned from plenty of cock-ups. Thought I'd write up a proper guide for anyone wanting to do a serious overnight investigation at a location. This isn't fool-proof obviously, but it's solid methodology that'll help you gather actual data instead of just getting spooked in the dark.
Before You Go: Get permission from the property owner/manager. This is crucial - you're trespassing otherwise, and you'll give the whole community a bad name. Research the location's history properly, not just the famous hauntings but the actual details. Contact local archives, newspapers, anything.
What to Bring: Torch (a proper one, not your mobile), notebook and pen (electronics fail at the weirdest times), digital voice recorder, thermometer, spare batteries for everything, mobile phone fully charged, comfortable warm clothing, a mate or two (never go alone), hot drinks in a flask.
During the Investigation: Establish a baseline first - check temperatures in all areas, test for draughts, note ambient sounds. Only after you've got your baseline should you start looking for anomalies. Keep detailed notes of everything - times, locations, conditions, what you felt or observed. Debunk as you go - if something seems paranormal, try to explain it naturally first.
Common Mistakes: Assuming every creaky sound is a ghost, contaminating your audio recordings with chatter, getting spooked and making up explanations, not bringing enough light, investigating alone, staying too long and getting exhausted (tired brains see things that aren't there).
Happy to answer questions in the replies!