Arguably the most influential UFO researcher was astrophysicist J. Allen Hynek, and for very good reason: he 'walked the walk and talked the talk'. In other words, he had the academic training and credentials to back up his opinion. He had a decades-long association with the U.S. Air Force as a scientific adviser during its study of the phenomenon and, whether you believe its three consecutive studies, Project Sign, Project Grudge and, probably the most controversial, Project Blue Book, were nothing more than a whitewash and cover up, that certainly does not reflect unfavorably on Dr. Hynek. Going in as a scientific skeptic, he always kept objective and dealt only with the facts. However, when those facts started piling up, facts with no scientific explanation, he was the first honest-to-goodness scientist to say, "Hey! Wait a minute! Something is going on here!". And, he was hard to discredit; he was not some fringe scientific crackpot or sensationalist author trying to sell a book. He died in 1986 at the age of 75.
I bring up Dr. Hynek because, not only is he a major figure in the history of 'UFOlogy', but was also the originator of the class scale for encounters. You may know them as the 'kinds': close encounters of the first, second and third kind, which was the title genesis of the 1977 movie, Close Encounters of the Third Kind. I remember seeing the movie in the theater and completely losing track of time; I was so involved in the story and special effects. By contrast, I thought Star Wars, which was released at approximately the same time, was boring and lame; too much fantasy for me. Regardless, Hynek's encounter scale has been altered and extended by others since his death, but still remains definitive:
First Kind: Visual sightings of an unidentified flying object.
Second Kind: Visual sightings plus the accompanying of physical evidence.
Third Kind: Sightings of occupants in and around the UFO.
That leads us to yet another, more recent, film: The Fourth Kind. An über-creepy movie, the abduction phenomenon, oddly, wasn't considered in Dr. Hynek's original classification. Whether this reflects his opinion on the validity of such encounters is unclear; there were cases such as Betty and Barney Hill as early as 1961, and a few reported even before. Still, close encounters of the fourth kind are synonymous with alleged alien abduction. This is where much of the UFO news and nearly all of the alien entertainment action has taken place over the past 30 years: the gray skin, frail bodies, big heads, huge, black, almond-shaped eyes and, yes, even those notorious anal probes.
So, what should you do if you believe you've encountered a UFO? Well, you could run like hell; there's absolutely no shame in that. However, regardless of the 'kind' of close encounter, all should be reported to the Mutual UFO Network (MUFON) or similar organization. While not government agencies, they do keep track of sightings, which helps to identify a pattern or "flap" in your neck of the woods. I'm a firm believer in reporting anything more than a casual, unconfirmed sighting to local law enforcement. You may disagree but, regardless of whether the person answering the call personally believes in the phenomenon, it is their duty and obligation to investigate. I can guarantee that if they receive multiple reports, they will start to believe something is going on, although they probably will never determine the cause. And, by contacting the authorities, there will be an official record, a paper and recording trail should investigators want to dig more deeply into the sighting. Law enforcement also has the ability to check with nearby civilian and military air installations to see if they can shed light on what people are seeing in the sky. Where will that lead? Almost invariably nowhere, especially concerning the military, but they'll at least give it a shot. If you have video capability (and who doesn't nowadays?) grab your Android or iPhone and start recording. You may only end up with a dark, jerky, grainy mess, but at least it's something, especially in the context of all of the other video that will likely be shot during a multiple sighting. By comparing the totality of video from different locations, times and perspectives, researchers can sometimes uncover a surprising amount of information.
So what if it's not just a weird light in the sky, but the mother ship that's landed in your back yard? Yikes! Consider all of the steps above, but do not attempt to go outside to investigate. There have been unconfirmed reports of everything from slightly higher-than-average background radiation levels to "Oh shit, I glow in the dark!" emanating from these things, so stay away. There was a well-known alleged encounter in Texas several years ago; while driving home at night, two women and a boy suffered what was believed to be cutaneous radiation syndrome after coming face-to-face with a 'diamond'-shaped object hovering in their path. Was it a secret military test gone awry or something otherworldly and even more bizarre? That's the big unknown, but one thing is known: DNA damage from excess ionizing radiation exposure is cumulative and permanent, with all of the nasty immediate and possible future consequences. Don't risk it.
How about if they're not in the sky, not in your back yard, but have come for a bedside visit? Now is the time for an extremely important note of caution: There are medical and psychological conditions, as well as OTC and prescription medications, that can cause very unusual side effects, especially when in a sleep or semi-conscious state. Therefore, all are much more likely explanations, and all must be considered and discussed with a healthcare professional before making the leap to belief that you have been abducted. And that is, indeed, a huge leap. Be honest with your healthcare professional. Do not hold back; there is no reason to feel embarrassed. It is the only way he/she will be able to determine what may, or may not, be the cause. As odd as it may seem, I can assure you that you will not have been the first patient to broach the subject, even in a primary care practice. Imagined or real, there is much more of the phenomenon out there than one would realize.
That being said, one harmless (but effective) tool you can use is recording technology. If nothing else, it may ease your mind. Usually, the sense or memory that one has been abducted is not an every night occurrence. Much like what is done in a medical sleep study, start recording your sleep with a camcorder. Don't be discouraged; keep it up for a few months. If you believe something has happened on a particular night, go back and watch the recording. If you don't have a camcorder, even an inexpensive digital audio recorder placed in your bedroom will go a long way in proving or disproving what may or may not be going on. Good luck!