One thing to note is that the stories about the site being haunted didn't really start going around until after the building was torn down - coincidentally, this was around the time ghost tours first started being held in Chicago. It may be that many of the stories were made up by guides as an excuse to go there, since I can tell you for sure that LOTS of customers ask to see the place, whether it's haunted or not. The main ghost story before that involved Capone thinking he was being haunted by one of the victims, which was probably the syph talking.
We're on the record as saying that we don't really think the site is haunted - or, if it was, it doesn't seem to be anymore. The same goes for the alley where Dillinger (or the fall guy, depending on who you believe) was shot. We still go past them on tours, but rarely spend much time there. Like so many sites in the city, it's tough to do a decent investigation given all of the traffic that goes on around there. It's a pretty busy street, and the alleys back behind it are pretty busy day and night (though less so since the Clark Bar closed).
Then again, I don't have a good explanation for this audio file. I don't imagine that it's an echo from the massacre, since it's the wrong kind of gun. But there were SOME reports from the coroners that a couple of shotgun blasts were fired - if I remember right, one of them was used to blow out the brains of Reinhardt Scwhimmer (an optometrist who wanted to roll with the gangstas, but was really just white and nerdy).