Spirits and Ghosts live on a different plane then we do, so they are probably all around us. Some people can sense them better than others, some are just kind of 'born with it.' And other times its the spirits who make connection. Some spirits will be around us but don't make any contact with us.
Theres different ways you can sense a spirit. Some people get cold or hot, some people get a tingly feeling or that 'somebody's watching me'-feeling. some people get goosebumps or their body hair can stand up. Some people feel dizzy or even sick.
I'll warn you though with connecting them. a lot of times things can go wrong quickly and you can end up with a bad spirit. not all spirits are friendly (They aren't all even though, Ether!) so you should always use caution.
If you want to connect a spirit it should be for a good reason, not just to play around. It'd probably be a good idea to keep protection charms (Herbs, Runes, pendants, crystals, etc) with you when you are trying to call on them. You should do a protection spell or exercise before you make contact.