People like Star_One and chainsy propogate the myth of aliens in saucers (tea, anyone?)... anyway, cosmic traveler has it pretty much right, but that is not all there is.
Project Mogul
For example, most unidentified flying object sightings that can be attributed to the military were never supported by the military. If they are flying an experimental craft, or using just a helium filled balloon in order to monitor radio transmissions or other lines of communication from enemies, they are not going to come forward and say, "Yes, that scrap metal, albeit a normal piece of metal, like any kind you find on earth, is not ours. It must be aliens ::wink, wink::" The military does not want their enemies to know how they are being watched. This is precisely what happened in Roswell. They found debris. People, with their superstitious nature and lack of ability to reason, immediately assumed it was an extra-terrestrial UFO. Some more intelligent people considered the military doing experiments. So, when the military was asked about it, they denied ever knowing about that "craft" and supported the idiots' claims and not denying it came from outer space. Since then, researchers have found out that there was a balloon that broke and came apart and landed in a field, that had been monitoring Russian communications. The military couldn't let them know, because it was the COLD WAR.*
There is always a better explanation for phenomena, when there is evidence.
*refer to
http://www.csicop.org/si/9507/roswell.html and Skeptic magazine Vol. 10, issue 1
