The Good Ghost Guide lists a few:
All Saints Church: A black-robed monk.
The Cathedral : A grey-robed monk (maybe his habit faded in the wash
)
Leigh Woods at Clifton Gorge : Isambard Kingdom Brunel, apparently. Also "weird screams" heard, and there's mention of dogs showing fear in the woods.
Llandoger Trow : A lame boy, heard dragging his leg across the floor, and occasionally sighted carrying a white bucket.
Pembroke Road : Site of a gibbet, and haunted by the figure of (good one, this) a dwarf beggar named Jenkins Protheroe, who was executed for murder in 1783
It also mentions the horse-riding duchess of Purdown, as described by Stu above, though the book claims she met her end when she was struck by lightning!
There's also a Bristol Ghost Club, though their website is down at the moment. There's a promise that there's some content "coming soon", so they could be good for a few more hauntings, so long as they're not of the orb-obsessed persuasion...