Former Apollo astronaut Ed Mitchell has made some waves by announcing that there really was a UFO crash at Roswell, NM, and we have definitely been visited by extraterrestirals. Mitchell, known for his wide interests and his performance of ESP experiments on Apollo 14, has talked about this subject before, but this is his most definite statement. Unfortunately, his reason for beliving this is the alleged word of one unnamed admiral.
COMMENT: At some (admittedly subjective) point, the ongoing absence of alien-spaceship evidence does become evidence of absence. The late Philip Klass once pronounced a curse on UFO researchers: "You will never know any more about UFOs than you do today." Over 60 years into the modern version of this phenomenon, we really don't know more than we did in, say, the 1960s.
That doesn't mean there is nothing worth studying. It's certainly possible some still-unconfirmed atmopspheric phenomena, such as Klass' hypothesized plasmas (presumably a larger, more stable cousin of ball lightning), does contribute to UFO sightings and is of interest to science. So keep an open mind on natural phemomena - but demand hard proof of little grey men.