They do, more often than Catholics. Remember the Palin video?
That reminds me of the comic who wondered why Dracula didn't attack Muslims, or Jews, or any of the other religions of the world. These people would never have a crucifix handy.
People are stupid - some more than others... not pointing fingers here. 

effbee
Why are only Catholics possessed? I've never heard of a Baptist, Mormon, or Christian having an exorcism. Dunno.