I had sleep paralysis once.

I woke in the middle of the night and I could hear the faint sound of music coming from the house next door and what seemed like voices. I could then see the shape of an old woman in my bedroom. As she slowly made her way towards me, I tried to move and scream but I was paralysed and could only let out a weak breath. This seemed to go on for an eternity until I finally let out a scream and turned on the lightswitch; then casually turned it off again and went back to sleep.

I'm a fairly rational person but I'm beginning to see how certain kinds of other people would start thinking they get abducted by aliens or get visited by ghosts.