One aspect is that most things out there ~are~ fraud or misperception - most ghosts are a night breeze, most "telepathy" is coincidence, most telekinesis is fishing line. I'm not adamantly saying it all is, but this is why most comes up false. However, some negatives don't mean something doesn't exist - the bilking of Darwin's partner is an example of charlatanism, not a counter-example to the existence of what may be called "supernatural."
For things that are "paranormal", there are valid answers already given for parts of your question: those who can feel no need to "prove" to the world, many who call themselves skeptics are out to prove them false (vs. discerning the actual validity), and also the "real" things that happen don't necessarily fit the definition demanded by skeptics*. There might not be such a thing as telekinesis as we expect it to be, but if there is some form of ESP, those demanding evidence of telekinesis are wasting time by insisting on narrow results. Now, I know you're not making telekinesis-specific demands, but the point is insisting on a narrower range of results than what ~may~ be possible.
Additionally, many things we ~call~ supernatural/paranormal are context specific - the person who "hears" a warning when their life was in danger, the connection between specific people, dream visits from dead loved ones, focused desire for a life goal producing physical and otherwise inexplicable results. I couldn't bottle these things for James Randi, even if I cared to get the cash reward for my personal experiences.
Essentially, it's like some versions of the New Testament say:
"`If they do not listen to Moses and the Prophets, they will not be persuaded even if someone rises from the dead.' "
(Not to make this a religious thing - it's just a handy quote for the topic)
I think healthy skepticism is important as a tool for examination.
Making it the goal falls outside my definition of 'healthy skepticism'.
A more important point for me is that when we say supernatural (etc.), there seems to be an assumption that it means "magic and therefore beyond scientific understanding" - and so when a scientific explanation is produced, it makes the supernatural aspect "false." I tend to view the supernatural as "the areas where science hasn't explained things yet." It's all a part of the same system, and when something supernatural happens, I can accept it both as possible and reasonable, even with a scientific eye. I guess the point of that is that it's unfortunate that most of the words - e.g. "supernatural" "paranormal" - imply being outside of science, which is silly - it's simply what we've not been able to study scientifically...yet.
I'm not here to convince you or anyone of the existence of these things - I have questions myself and would ~love~ irrefutable evidence for quite a few things. I have plans with friends to visit supposedly "haunted" sites, for example, just to see if something will happen that will convince me with more certainty. I don't even need absolute certainty - it just needs to be enough. I've had experiences which may have currently understood scientific explanations (e.g. "just a dream", hallucinations, misperception of lights/shadows, sheer coincidence) - but evidence on hand seems to indicate something science can't currently explain, to my knowledge.
I just can't deny them simply because I can't provide citations.
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