The Holy Spirit is Almighty God Himself. Remember God is a Spirit and we must worship Him as a Spirit. The term Holy Spirit (Holy Ghost in some translations) is given to God because God is perfect and without sin making Him Holy.
The spirit realm is as real as the physical realm we live. The difference is that the spirit realm is eternal while our physical realm is temporal. There are many spirits including demons (angels who chose to follow lucifer), angels of God (angels who chose to follow God), and lucifer or satan himself (called the angel of light being considered the most beautiful angel of all).
According to King David, who wrote many of the Psalms, God fills the whole earth. David claimed that there is no place that God is not continually there. God can do this because He is Spirit, the Holy Spirit. This is why we can proclaim that God will never leave you.
The most exciting aspect of the Holy Spirit is that He, God, wants to come into your spirit and make you alive spiritually. God can do this when you accept His “free” gift of salvation through the shed blood of Jesus Christ. The Holy Spirit wants to guide, protect, and love you.