Yesterday I finished reading Jacques Vallee's book Passport to Magonia.
It posits the hypothesis that the modern UFO phenomenon is actually the latest chapter of a millennia-old story and that basically the greys, the fairies, the religious apparitions, etc are all just different disguises of the same mysterious intelligence that has been toying with us since the dawn of time, and whose true motives remain unclear.
He thinks that trying to catch UFOs is as pointless as chasing fairies, and that we should instead focus on analysing the influence that these stories have had on our history and culture. In an interview he offered the suggestion that we might be dealing with some kind of mental (metaphysical?) control system, and expressed an interest in devising methods to proactively test it, but I don't know if he ever followed up on that.
Anyway, as outlandish as this is, it kind of makes sense to me.