Other ghosts tend to stake their claim to a particular place or a particular time, but the Grey Lady of Bury St Edmunds doesn’t like to conform to stereotypes – she has been spotted all over the town and at different times of the year, making her Bury’s most famous (undead) resident.

It is said that the ghost is a nun who was linked to the death of the Duke of Gloucester, who is believed to have been murdered in St Saviours Hospital in 1447. Locals claim that the nun, Maude Carew, was the one to kill Gloucester rather than the Duke of Suffolk, as written in Shakespeare’s Henry VI, Part III.

The hospital, near the town’s railway station, was formed in 1180 and was where elderly monks from the Abbey of St Edmunds were treated. One of five such hospitals in Bury St Edmunds, it also offered a place to rest for weary travellers, including the pilgrims on their way to the Shrine of Edmund in the Abbey itself.

It is said that the Lady in Grey returns to St Saviours every year on February 24 at 11pm and, somewhat less romantically, staff at a nearby Tesco have reported ghostly goings-on with low-level poltergeist activity causing inexplicable happenings around the store.

Others say that while the death of Humphrey, Duke of Gloucester, was real, the story of Maude the murderess was fabricated by Margaretta Green, who lived in a house built into the ruins of the abbey’s west front and in 1861 wrote a story called The Secret Disclosed, based on a document she said was found in the abbey’s ancient walls.

These Victorian houses in the Fornham Road area are said to be regularly visited by an otherworldly guest and a local legend tells of a lady in grey leaping over the old Priory wall at the end of the road.

Bury is, according to many, “the Charing Cross of the Spirit World”, where the famous St Michael Alignment runs in a straight line from Land’s End to Hopton-on-Sea in Norfolk, linking a host of spiritual sites across the UK, including St Michael’s Mount on the Cornish coast, the three stone circles of the Hurlers, Glastonbury Tor, Oliver’s Castle, Avebury Henge and Bury St Edmunds’ Abbey.

St Michael was one of the seven archangels and led the defeat of the rebellious archangel Lucifer, casting him down to hell – more ley lines are said to meet the famous St Michael Alignment at the abbey’s High Altar, more, in fact, than bisect Stonehenge.

It comes as no surprise, then, that the Grey Lady is said to haunt the Abbey. She was seen in the 1930s in Abbey Gardens, close to a First World War tank being exhibited in the gardens at the time, in the houses built into the West Front of the Abbey and in a shop on Abbeygate Street, where a witness in 1961 saw the ghostly apparition of a lady wearing an 18th century grey chiffon dress walking across her showroom before vanishing through her shop’s wall.

She’s been seen in the old Suffolk Hotel and at St Mary’s churchyard - in particular the tree-lined avenue that leads through it, where she was spotted twice in 1862- and she was such a regular at the Theatre Royal in the town that a former manager would leave out a programme for her.

At The Nutshell pub, famous not only for its tiny dimensions, but also for its (possibly) cursed mummified cat, the Grey Lady has been seen, sometimes with her spectral lover, who is linked to her by another tale, that which sees a medieval nun punished with execution for a dangerous liaison with a monk at the Abbey.

Cupola House in the Traverse, built in 1693 as a private home but destroyed by fire in 2012 before being rebuilt, was said to have been visited by author Daniel Defoe in 1704 and is also a regular, ahem, haunt of the Grey Lady.

While it’s quite normal to see spirits in a bar, they’re generally contained in bottles. But at the bar in Cupola House’s cellar, the ghostly lady was spotted in 2000 by a bar man who was scared witless when he saw a Victorian lady dressed in white (perhaps the grey dress was in the wash, or perhaps it HAD been washed) on the stairs. She stood there for several minutes before disappearing into thin air.

Marion Thomas, landlady until 2002, claimed that the cellars were an eerie place to visit at night, that things would regularly be moved or tinkered with, and that a strange presence could sometimes be felt there. Is the ghost chained to earth due to a ghastly crime, or looking for her forbidden love?

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