Coming back with hard proof of a haunting or other supernatural event is the holy grail for paranormal investigators. But if a ghost or entity puts in its appearance and someone forgot to put batteries in the equipment, there's not going to be any evidence to produce.
The best way to avoid this is by having a good checklist to go over beforehand. Approach the investigation as scientifically as possible. It's easy to get swept up in the excitement of the hunt, but it will be more rewarding if everything is done by the book and hard evidence is collected.
For more information, check out Investigating the Paranormal and Debunking the Paranormal.