Class 1 (mutants):
Class One entities aren't really supernatural at all, they're normal mutants. Some mutant powers may end up looking a lot like something supernatural (particularly for some of the ugly mutants), but it's really just good, old fashioned mutant powers. Examples: Harry Wolfe, Fey, Ayla in ghost form, Thuban, Jello. Mutants, but prone to being mis-identified by stupid normals.
Semi-persistent knots of magic. This is the explanation for about 95% of the "things" out there. Spirits, Demons, Gods, Totems, Manitou, Kachina, Kami, Divs, Loa, Faeries, Goblins, and Fey's hobgoblins. All began as knots of magical energy with a very limited duration. Achieving a greater duration involves several steps:
(Optional) Follow a template. Somehow, successful spirits communicate how they did it. This helps establish a template that later spirits follow. Templates are often common to a region, so you'll often get aboriginal-style spirits in the aboriginal locale. Templates also seem to be carried by people, so when people move to a new region to escape old haunts, sometimes similar events seem to follow them.
Establish a "hallow" - a location or object that anchors the magical charge and is a home of sorts. Most Hallows are located at places where lines of magical force cross; there is usually something that will hold a charge there (pool of water, standing stone, tree, so forth). Objects, especially precious stones, can become Hallows; this is called being Cursed.
Select a focus - is this an "Ancestor Spirit", or a "War God", or a "Vampire Spirit", or a "Trickster Spirit"? The definition tunes and limits. While increasing certain actions, and increasing the inflow of certain energies, it closes off other energies and actions.
Feed. Spirits require an influx of magical energy for survival, but they are highly limited. This energy must be "pushed" into the spirit, it cannot be pulled. Magical energy is akin to electricity- there's Amperage and Voltage. Voltage "pushes" Amperage through the wires. Ambient magical energy has lots of natural "amperage" but little natural "voltage". Voltage is provided in nature by things like storms, wildfires, volcanoes and death. Humans can provide magical voltage by two means- Great Discipline and Intense Passion. By inspiring humans to some great emotion (anger, hate, love, fear, shame, etc.) spirits can trick them into "pushing" magical energy, which provides the Spirit with more magical potential. Humans should beware, since spirits are always hungry for more energy.
An intense debate is Magical Theory is "Do spirits have rational intellects?" or instead "Are spirits entities of pure reaction?" There are theories and proofs on both sides (which often involve the spirit parasitically exploiting a host's intellect or abilities to meet its own needs).
One theory credits spirits with independent intelligence - initially at purely an animal/reactionary level, growing over time as the spirit persists and adapts, eventually reaching human or super-human levels.
There are several sub-categories of spirits:
Magical entities that have a solid or partially solid body, like brownies, demons, cockatrices, and jackalopes. Usually, destroying the body destroys the knot and the entity.
Magical entities with an intangible body, like will-o-the-wisps, or banshees, or poltergeists. Despite their lack of a solid body, they can still affect the material world. Most possessions are due to a class 2/non-corporeal entity.
Entities bound through death. Either the creation power came from a death, the hallow is a body, the focus or template is a dead form, or the feeding seeks to cause more death. Examples include ghosts (which many argue contains only a template image of the dead person, not a "soul"), zombies, vampires (summoned by death, the hallow is the body, feeding is done to cause further deaths as well as providing maintenance material for the hallow), etc.
This may involve focusing on one animal which evolves into a more powerful being (a fox-spirit or bear-spirit), focusing more diffusely on a type of animal (all wolves hear the great wolf spirit) or a region (the forest here does not tolerate man). Often, natural spirits become almost symbiotic with the animals that form their focus - the animals feed the spirit through their lives, emotions, and deaths; the spirit guards and protects the animal species at large (but not the individuals).
A common template, this draws power from a natural event - a waterfall or volcano. Advanced versions of this entity will be able to form an independent body composed of their focus element. Unlike corporeal entities, destroying the "body" merely sends the spirit back to its hallow.
Unlike "corporeal", this type inhabits the body of a living creature and fills it with magical power, strengthening it, granting new abilities, and gradually warping the creature into a monstrous parody of the original creature. Killing the body dissipates the entity.
Demonic / divine
Any of the above entities, grown old enough to (apparently) display advanced thoughts and goals, along with much greater power than a new-born entity.
Have the ability to host nearly any spirit. They will subconsciously provide the "voltage" necessary to feed and maintain the spirit. The avatar powers give the human host total control over all spirit abilities.
While Class 2 entities compose the bulk of supernatural encounters, there are other beings out there. Extra-planar creatures, discorporate human intelligences, beings of pure energy, pure astral life-forms, etc. The amateur supernatural sleuth is separated from the professional by the ability to differentiate Class 2 creatures from Class 3. As Class 3 entities obey entirely different sets of rules, treating such an entity as a class 2 may be dangerous or fatal. Avatars are incapable of possessing most class 3 entities.
Class X (Cthulhu Mythos)
Entities of this nature are classified at the highest imaginable threat level. Many predate the planet earth, they may predate this universe. The Old Ones apparently cannot be harmed (or even irritated) by powers at human disposal, but they might be distracted or turned elsewhere. Many encounters of this class will not be with Old Ones per se, but with lower-level servant entities. These are (theoretically) mortal - the encounter usually involves stopping such beings before they can attract the attention of an Old One.
The nature of Old Ones is beyond comprehension by any human-type intelligence. They exist "in the spaces between the dimensions, undimensional and unseen." They will continue to exist long after the planet is gone. According to reliable intelligence, the world is endangered because "the Elder Things wish to strip it and drag it away from the solar system and cosmos of matter into some other plane or phase of entity from which it had once fallen". Obviously, even the mightiest hero should be cautious when dealing with beings who would send the planet spinning into another dimension.
It is reputed that contact with any Class X item (whether entity, artifact, or simply second-hand writings) has the potential to damage sanity. It is well accepted that such damage is cumulative.