I would of added this to the "Atheism 2.0" thread. But that seems a bit full with replies to the OP, and this topic is on a more open/varied topic regardless.

Essentially to explain the question, yesterday me and two friends were at a park and at one point the topic of Voodist came up.
The friend explaining it described how they'd have some ritual, and then several hours later a dead persons spirit would come and they'd all talk to them. How everyone in the room could clearly see and talk to this dead person, and it was rather cool but no big deal. 

So I asked the question "Why do they not try to prove this though? If they can do such a thing so easily, can they not do some sort of test or recording to show that it actually works?". Which essentially led to a debate where her point came down to "Why should they have to go through the Criticism and questioning to be proven? Why should they have prove themselves to Science, rather than simply being left alone to do their own thing?".

So basically the question I have here is: [s]"Is there ever a reason to not prove something if it can be proven?"[/s]
"What is gained by proving something to another person?" (Re-worded as suggested by mdk).