The Brady Theater is located in Tulsa, Oklahoma. Even though it was named after "Tate Brady", an affluent oil baron, the real owner was Mr. Peter Mayo. Mayo renamed the theater to reflect the district which was also named after "Tate Brady." The Brady Theater was the largest theater west of the Mississippi River. It hosted some of the most famous actors of its time including the one that is said to haunt it til this day, the famous Italian tenor, Enrico Caruso.
According to the legend, Enrico Caruso went to see an oil well in Sapulpa accompanied by two other cars. The day had been wet and rainy and all three cars ended up breaking down. Caruso had to walk 1/2 mile to the Brady Theater for his sold-out concert. Enrico Caruso died about 9 months later from abscesses on his lungs do to pleurisy in 1921. It is said that Caruso haunts the Brady in retribution of his illness from walking in the wet Tulsa weather. His manager also blamed the weather for Caruso's demise.
The Brady Theater also played an important part in the Tulsa Race Riots of 1921. The area of the town called the "Black Wall" was known for its affluent black people and its poor white people which is said to be what caused the riots in the first place. The Brady was said to be a safe haven for the opposition from the wrath of the riots but instead, it was the place where many black people were tortured and killed. Black people claimed that men were tortured, burned and buried alive in the basement of the Brady. Later, pictures surfaced of black people being forced into the theater by gun point with their arms raised high into the air. During the riots, much of downtown Tulsa was burned to the ground. Only The Brady Theater and the Cain's Ballroom were spared, supposedly because they were owned by white men.
Paranormal claims include lights turning on and off and unexplained equipment failures. However, many believe the theater isn't haunted at all.
More info: http://www.bradytheater.com/