UFO stands for Unidentified Flying Object, but I trust you know this one. For most people, UFO=aliens. That is common mistake...when airport or military radar detects an object that is not responding, it is marked UFO. But it can be just an aircraft with malfunction, or an idiot who got hundred of helium-filled party baloons and tried to fly. So far, none of such observations were confirmed as extraterrestrial artificial object.
As for stories...google google google
And perhaps someone here will link you to some....
And don't believe everything...lots of "abductions" were actually already explained by other means...a malfunction of one of brain's processes can cause people to have VERY realistic dreams, and they don't have to realize it was a dream. I heard about woman that thought she was abducted, but her family reported that all the time she was sleeping...