Usually there are sappy scenes when movies depict departing souls (Raiders of the Last Ark being an exception). So here is Werner Herzog's take on it in The Bad Lieutenant: Port of Calls - New Orleans. If you like Herzog, you'll love the idiosyncrasies in the movie. And Nicholas Cage is at his weird best (in fact, I was reminded of the dancing soul scene in an interesting Slate article on Nicholas Cage's movie choices). But if you like non-fiction Herzog, then definitely check out the wonderful Encounters at the End of the World (see an earlier post here).
Here is a short scene involving a dancing soul from The Bad Lieutenant (warning: this clip contains profanity/crude language, violence, and drug-use):
See Roger Ebert's review here.