I've had an experience more in keeping with the theme of this thread, but it wasn't anything to take much time thinking about. Besides, nobody believes people who see UFOs and ghosts, and discredits them as insane, under the influence, or otherwise incapable of making a distinction between a known object in the sky and one that is not.
Anyway, here's my story:
In the deep canyons of the Wasatch Mountains, wind roads to centroids of various parts of nowhere. Once you get over the breathtaking views of rocks, you start to look up into the sky to see what else there is; especially if you live in the area. I was one of 4 in the car that day, and we each saw the same thing, though nobody mentioned it until the encounter was already far past over.
Above the high cliffs, a perfectly round silvery object hovered as we drove through the canyons. It remained completely motionless, regardless of the high winds known to blow over the mountain range. I remember thinking it was a balloon, and watched it for a while as it hovered in broad daylight. I turned around, and as I returned my attention to the object, it seemed to react to my gaze. It dropped down into the canyon in an instant, where it hovered for a moment. It couldn't have been bigger than a car - based on the shadow it cast. A moment later, it darted back up into the sky - straight up, and disappeared.
When we all arrived at our destination, one of my companions asked if we had seen the object, and all but the driver told a similar story. While it certainly was a strange thing to experience, I don't believe it is otherworldly, government conspiracy, or otherwise. It's simply something weird that happened, nothing more.
Also, I'm a drug-crazed lunatic that eats babies.