All aspects of parapsychology are challenged based upon the difficulty of scientific testing. Paranormal activity is often considered to be pseudo-science; that is, not tested through scientific means.
Part of this belief comes from various "successful" tests, that later turned out to be fraudulent. One group of experiments, known as the Soal-Goldney Experiments, were taken as proof that extra-sensory perception existed; it was later revealed that the raw data was manipulated.
Specifically to paranormal activity, scientists cite selection bias, that is, the fact that evidence given always points to a positive existence of the phenomenon, without any testing that may provide a negative. In a general sense, supernatural events cannot be tested, and therefore can neither be proven nor disproven.
There are, however, collectors of physical evidence that deal with paranormal activity, commonly know as ghost hunters. These hunters use a variety of equipment to record abnormalities, see Recording Paranormal Observations. Many of these can be explained by other means (e.g. orbs in still photos can be caused by light reflection), as such, critics consider these not to be conclusive evidence.