It is a Gaussmeter (sometimes called an EMF meter/detector), used for detecting electro magnetic fields. Modern ghost hunters believe ghosts leave traces of electro magnetism.

http://www.lessemf.com/ghost.html

This is where I have been scoping out my gear. Seems like a lot of it is higher end stuff, and the prices look to be a little lower than the link you posted, luke.the.darkside.is.fun.

Make sure you get a gaussmeter that ignores power lines, otherwise you could get a bunch of false readings.