I have just one. It's not too crazy, but I was never able to explain it, and what pisses me off is that I expect I'm never going to.
I was about 15 (late 1998 or early 1999). I had been really interested in lucid dreams, and woke up one night at 2:30 AM from a long and involved one. As was my habit at the time, I wrote down the whole dream in detail on a paper near my bed.
While I was putting down the last few details, I heard music coming from the hallway. The house was dark and quiet, my parents were asleep, and the house is pretty small and has only one floor. The music wasn't like anything I'd heard before -- it sounded like someone was pouring sleighbells down a series of regular troughs. Lots of tiny tinkling notes merging into a chaotic tune.
For like 30 seconds I sat on my bed, creeped out, thinking "this is so surreal" and "where could this be coming from? someone parked outside?" and other things you think when you're 15 and awake and home alone and kind of a wimp. I finally got up the nerve to get up and walk over to the door, and the noise got louder as I did -- clearly it was coming from down the hall. I saw out through the ajar door that everything was dark. I knew that I would have to walk out there to see what it was, but it was such a strange experience and I found myself terrified of the dark hallway.
So I chickened out. I backed away from the door, sat on my bed, wrapped the blanket around me, and listened. I knew I wouldn't be able to remember the music, but I tried to verify that it had a tune to it, and it did -- chaotic though it was, I could anticipate parts of the melody. And I took the piece of paper on which I had written my dream and added a note at the bottom: "2:30 AM: Strange music. Scared." And then I just stared at the doorway.
About a minute and a half later, the music faded down and stopped. There was silence. I didn't know what to do. I didn't feel like sleeping. Eventually I got up the nerve to walk out my door and into my parents' room across the hall, where I stood awkwardly at the foot of their bed, not sure what I would say if I woke them up. Finally, I decided not to, and walked back into my room. I read for a while and fell asleep.
The next morning, I asked my parents. They didn't know anything, and couldn't think of a piece of music that it might be (my Dad suggested "Tubular Bells"). I've never heard it again or figured out what happened.
The obvious suggestion is that I dreamed it. This doesn't fit for several reasons. One, I've never confused a dream for a real experience after waking up. Two, I remember thinking, at the time, "years from now, when the memory of this has faded, I'll probably start telling myself that it was a dream, and it'll probably help me wonder less, but I know with certainty right now that it wasn't." Third, I can't really write text in my dreams, let alone write a full page of narrative. Fourth, I looked at the paper the next morning and saw the note. (I wish I could find that paper again, but my room was always a mess of stacks of paper and sometime in the next few years it vanished).
I don't expect anyone to figure this out, I don't expect to ever find an answer, and I don't think this was anything supernatural. The lesson here -- and the reason I retell this story -- is this: forget what the horror movies teach you. Even if you're scared, go investigate the strange phenomenon, or you just might find yourself wondering for the rest of your life.
(And if you do hear this music one night and go to investigate, don't forget your towel.)