To preface, a ghost light is a lamp left activated on a stage even when the house is empty and no performaces or rehearsals are being conducted. It's a bare bulb that burns for no one.
Some say this is so no one hurts themself in a darkened theater by, for instance, tripping off the stage into the orchestra pit.
However, theater people (a highly superstitious lot) believe the contraption and its name comes from the long tradition of burning a light for the resident ghost--every theater has one. And they're often considered good luck. Some traditions, though, hold that the light is burned to keep them at bay. I suppose it depends on how harsh a critic your resident ghost is.