The ghost is a frequently misunderstood enemy. Many (idiots) plays of Spelunky say that it one shot kills you and is invincible, but really they just shot the plasma cannon three times and auto died.
The ghost is actually a NPC that gives free bombs, ropes, and weapons (including the best weapon in the game, the webgun) to the character when the character runs into it.
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..............\.............\... says everyone ever. However, they are just idiots that shot their plasma cannon three times.