I first heard about the haunted Coliseum by word of mouth.  The first substantial story about the venue showed up at an exhibit on Haunted St. Petersburg.

I found this story listed at the Downtown newsletter site:
A COLISEUM HAUNTING? Along the 4th Avenue N. corridor into downtown St. Petersburg stands the Coliseum - a unique architectural icon from the city's past. Known as "The Palace of Pleasure," it debuted in 1924 as the country's largest dance hall and served as the city's premier entertainment venue for decades. Rex McDonald, a young banjo player in the Coliseum's house orchestra, began producing shows there in the 1930s. He booked many famous '30s and '40s entertainers, bringing the likes of Glenn Miller, Count Bassie, Dizzie Gillepsie, Louie Armstrong, Rudy Valle, Guy Lombardo, Duke Ellington and others to St. Petersburg. Rex devoted most of his life to the Coliseum, and, in a sense, it rewarded him with his life-long partner. Thelma (known as "Boo"), a frequent visitor to the Coliseum's dance floor, became his wife in 1932. They ran the Coliseum until Rex passed away in 1984. Shortly after Rex's death, the first reports of phantom dancers at the Coliseum began to surface: the sound of shuffling feet moving in rhythm emanating from the old darkened dance floor. Staff members from the 1980s wondered if perhaps Rex had left behind more than just an entertainment legacy. Could those disembodied footsteps belong to the long ago dancers that once twirled and whirled on the Coliseum's dance floor, swinging to the music of Rex McDonald-the Banjo Man?


Here is a bit about the exhibit from the archives:

When I attended "Cool Art" I only brought my IR camera.  None of the artists were too chatty about the ghost stories in there.  I felt nothing unusual, though the building is georgous.  Nothing strange showed up in the IR photography.  (7-17-10)