I have encountered something like this that I could not explain on two separate occasions. Neither of which was I on medication or intoxicated in any way.
On the first occasion, I was awake at night. I couldn't sleep so I sat up, turned on my lamp and decided to draw. I drew for a few minutes before the light flickered, went out, and came back on. Mind you, none of the other electrical devices in my room messed up: the alarm clock, dvd player, nothing went off but the lamp. Odd, I thought, but whatever. I turned it off. When my eyes adjusted, I saw that the light was still on, emitting a very dull glow. As I watched, a dark, blob-like mass that was much like a very small cloud slipped under my door and floated toward the side of the room my bed was on. I was terrified, naturally, but before I had time to do anything the light in my room (which again was turned off, but still slightly glowing) became very bright and the dark blob sheared away into the room and dissipated. Nothing like that ever happened again. No clue what it was, but it was damn scary.
The second time, I again was laying in bed at night after I'd gotten up to go to the bathroom. For some reason, I had this weird chilling sensation, so I got another blanket and tried to go to sleep. Although I felt a little warmer, I still felt odd. Not the way I should feel under all those blankets. I rolled over onto my side and came face-to-face with the dark outline of a person (presumably male) squatted down by my bed. Although I could not make out any eyes, I could tell that he was looking at me. In fact he was all one color: pitch black. I didn't know what to do, so I pretended to yawn and rolled over to face the opposite direction. Shortly thereafter, the chilling sensation faded. I dared not remove the blankets, because after the chilling sensation left, I heard rustling in the dining room. It sounded as if someone was tearing pieces of paper and flipping through files or something. I still lived at home at the time, so the next morning I asked mom and dad if they were up doing any work in the middle of the night. They both said no, that they'd actually slept the entire night. The doors were still locked, no windows had been opened, and nothing stolen or broken. I don't know what it was, but it still gives me the chills to this day when I think about it.