I find it odd that an intelligent race (let's face it, if they can travel through interstellar space, they're pretty intelligent) would come across the galaxy and then kidnap some hicks in order to find out how we work. I also find it odd that they'd be able to travel across space and wouldn't be able to navigate a storm (ie a lightning bolt downing one in Roswell).

If they're intelligent enough to travel thousands of lightyears in a short amount of time, they should be intelligent enough to make a real first contact.

The government does threaten people over national security issues though. The SR-71 Blackbird is the fastest plane in existence. It doesn't take a real stretch of the imagination to figure that that plane may have been one of the "UFOs" spotted in the past. If it was flying at night, all you'd see are two glowing objects side by side, moving across the sky at an incredible rate of speed. Remember, with full afterburners, it flew from LA to NY in, what, 1.5 hrs? Do the math and you'll find that it was exceeding, I think, Mach 7.

My take on UFOs is that it's just bleeding edge government technology being tested. The F-23 (JSF) and the SR-71 fall into that category.