I love old houses (and have a degree in architecture and historic preservation) and you're kidding yourself if you live in an older house and think that someone hasn't died there. It always strikes me as funny that the biggest, most beautiful houses I see end up being funeral homes (the ones that haven't been painted white and black, I mean). I'm not sure what would have been done to the inside to make it into a funeral home but I'm sure extensive (and expensive) rennovations would be required to turn it back into a private home. If the house were priced right and was not on a main road, I would definately consider it.
I also believe in spirits but I definately don't think they would hang around a funeral home but rather would hang around places they frequented in life. The only thing I'd worry about is whether I was planning to stay long enough to not have to worry about potential resale... obviously there is a stigma attached to the place, moreso if people can remember attending funerals there. If I couldn't hold onto it for at least 10-20 years, it would probably not be a wise investment.