I don't believe in the paranormal, or supernatural, simply because it is practically false by definition. Things outside the realm of reality are just that; not real.
And yeah, I believe life probably exists elsewhere in the galaxy, but I doubt any of it has come to Earth and then been spotted by a couple irreputable people, and then dissapeared. A race advanced enough to achieve interstellar travel would probably either a) be too far away to get to us, B) be advanced enough to avoid notice if they wanted to, c) have absolutely no interest in us, or d) contact us directly. Basically, we have no real proof that aliens have visited us, so there is no reason to believe they have.
Also; sleep paralysis.