A light left on when a
theatre is locked up for the night, the
ghost light has several purposes. The light is placed on stage so that the first and last people in and out of the theatre may safely find their way. In olden days, ghost lights were gas flames and served as pressure release valves for a theatre’s gas system.
According to myth, the ghost light is also left on to ensure that the theatre is never “dark” and to keep the theatre muse happy. Supposedly, the light illuminates good ghosts while keeping bad spirits at bay. When all the theatre lights go out, the ghosts think they have been abandoned and create accidents and mischief.
Now, I can post the entire theory behind the ghost light or you chould just do a search on the net. Basicly it's an old Myth. Just listen to the soundtrack for The Phantom of the Opera.