The book A Demon Haunted World: Science as a candle in the dark by Carl Sagan goes in depth as to the origin of peoples propensity to believe that they have indeed encountered such creatures. I would highly recommend reading it.
I love Carl Sagan and especially love when he branched out into topics like this. But I also wonder if he ended up being on the right track - does anyone happen to know if contemporary research backs up many of his speculations about human evolution in books like Dragons of Eden or Demon-Haunted World?