I remember reading somewhere that there is a chemical in the brain that makes people think they've been abducted by aliens and experimented on. This can happen during sleep, I think.

When people take certain powerful drugs, which we're not allowed to talk about here, many have a very similar experience - but instead of "aliens" they usually think the beings are from another dimension. Drug expert Terrence McKenna thought that these beings actually exist, and that under the right conditions humans could communicate with them, and vice versa.