Carl Sagan's recent book The Demon-Haunted World is excellent reading for those of you wishing to see what the scientific view on this issue is. I fully agree with his analysis. The only people that report these 'abductions' are the victims themselves. Despite these abductions occurring in residential communities by the thousands, no next-door neighbors ever come forward to corroborate having seen anyone else carried off. I think that the general public simply has no understanding of just how badly they can be fooled by their own minds. This sounds arrogant, but consider this: the entire advertising industry exists because we as consumers can be easily seduced by movie stars hawking products on TV. We are told again and again by various surveys that TV influences us and our children, but despite the BILLIONS of dollars invested every year, advertisers claim that TV doesn't influence our children to be more violent and buy certain products. We accept this logic and fail to regulate TV advertising and programming.
It well known that humans believe what they wish despite any reasonable evidence, especially if what they experience meshes with some prior belief in how the world works. We selectively remember events that reinforce our prejudices, and ignore contrary evidence. This is why astrology is still believed to be valid by BILLIONS of people around the world, even though every study shows that it doesn't work better than flipping a coin. Abductions, with all due respects to the thousands of people that have reported this phenomenon, are simply misunderstanding a very common phenomenon that occurs to many individuals when they are in a state of consciousness half way between full wakefulness and sleep. In this state, it has been scientifically documented that we experience many curious and fleeting states as the brain is waking the body up. Paralysis is VERY common, as are reports of mysterious figures, vague sexual experiences, and feelings of some malevolent agency at work. This is science, not superstition. Why the brain does this is not known, but it does. A casual observer who doesn't believe in the scientific explanation will go off and create elaborate stories about the event.
Have you ever been awaken by a dream that reached a troubling climax just at the instant that your alarm clock rings? What happens is that it takes several milliseconds for your brain to respond to this alarm upon the messages reaching the ear. During that time, it creates an elaborate dream which ends at the moment the startle response kicks-in and gets you bolt upright in bed! There is nothing psychic about this, even though you are left with the distinct feeling that you mysteriously anticipated the ringing before it occurred. I am a firm believer that the brain is a mysterious place, and that all of our 'halucinations' about events in the physical world stem from the mind, NO MATTER HOW COMPELLING THEY SEEM.