When this phrase comes up, I'm sure many places come to mind for those who are familiar with the topic of hauntings. The one place which comes to mind for me would be the Borley Rectory in Essex, England. The history of the rectory is fairly long and full of legend, so I won't recount that on this post, but you can find all of the information concerning that portion of it both here at Wikipedia and here from the Essex Ghost Hunters.
Before the Rectory itself was destroyed in a fire in 1939, there were many manifestations including spectral lights, figures, (especially that of a nun), levitated and thrown objects, (even at people), moved objects, and conversations with a spirit using in essence the "knock once for yes, knock twice for no" methodology. One of the most compelling pieces of evidence documented was a picture which supposedly shows the nun figure walking along the churchyard.
Even this however, was not the most startling thing found. Writing would commonly appear on the walls without cause. Even stranger, was that the writing was entreating one of the owners of the rectory for help.
Even though the Rectory itself is gone, activity apparently still continues to this day. The Essex Ghost Hunters are some of those who have witnessed it.
They have witnessed many orbs, which I personally do not put much stock into, but also shadowy figures and have had things thrown at them. You can read their experiences here.
So what do you think? Does the Rectory deserve the title of the Most Haunted House in England? I certainly think it does. Honestly, I have not heard of any place really which can compare worldwide, however, if any of the readers wants to suggest a place, please do so as I am always willing to change my mind with sufficient evidence.