This brings up an interesting related question: is it possible for a proper skeptic to be a theist? My answer, with Matt Dillahunty, is no: skepticism, properly applied, inevitably leads to atheism. The thing is, of course, that no skeptic is a perfect skeptic, as much as we would like to be, and as a result, there are some people who self-identify as skeptics but who are also theists. (Or believers in ghosts, UFOs, et cetera et cetera.)
For my own part, since I do strive to be as good a scientific skeptic as I can, the main reasons for my rejection of supernatural claims are essentially the same as for my rejection of (most) conspiracy theories. I am an evidentialist, so if you make a claim -- whatever the claim may be -- I will ask for your evidence. Should none be offered, I will not accept the claim.