I remember reading that souls go somewhere when they die, so why are there ghosts ?

Usually they are bound to Mundus. Some stay deliberately though.

Just to bite my ass and damage my health I presume ?

http://www.uesp.net/wiki/Lore:Ancestors_and_the_Dunmer

It's just the whole Ghost Whisperer story

Generally, when a ghost to still bound to Mundus, it was either because someone forced them against their will, or they've bound themselves due to a lack of closure. In addition, since they're dead, they also feel the maddening chill of the Dreamsleeve, which gives them crazy. Though some have an iron will to withstand the chill, and probably not notice it at all like that dwemer ghost in Tribunal. However, I think the rule of plot device took over that.

This section of dialog from Battlespire should help: http://www.imperial-library.info/tsobs/part03.shtml

Curiously, ghosts tend to be able to remember their lives pretty well, but they have some difficulty recalling post-mortem events.


I thought the madness was from being trapped on Mundus

Well, it does svck being trapped on Mundus, with the constant and cold biting of the Dreamsleeve. Seriously, stand outside, naked (or in your underwear) when it's pretty cold out and you have partial sensory deprivation when you were all nice a snug before that.