In the beginning.

In investigation of paranormal events and stories it is important to remember one thing: Individuals experience the world in different ways. An individual may state that they hear the voices of ghosts where none other can, most likely it is due to a mental disorder however the experience is very real to the individual. Parapsychology & Jungians will focus on that experience... the fact that it means something to the individual not if in fact it is real or not.
But that isn't interesting to casual viewers of this site... you want to know if it is actually real right?
Well I doubt I'll provide you with and definative proof seeing as I don't really believe in anything paranormal anyway but I'll take you along for a ride.

Normally paranormal reportings are either misinterpretations or hoaxes/pranks.
Hoaxes obviously don't need to be explained but here is a bit about misinterpretations.
A lot of you have probably heard about people waking up and being possessed by a demon, then reawakening later with no memory. In fact this is a condition known as 'Night Terrors' where disturbances in an individuals sleep pattern cause the individual to often wake up and start crying then return to slumber, amnesic on awakening. Yours truly actually suffers from the condition however I just awaken and look around the room with a frightened look on my face.
Another sleep condition is known as 'Sleep Paralysis' where the individual awakens, aware, but not able to move their body apart from their eyes. In American indian myth this was described as being held down by evil spirits but really is just the chemical that paralyses your body while you sleep (so you don't act out your dreams) not being correctly disposed of before you wake.

Other than that there are some nuts out there... maybe what they talk about is actually true but I would seriously doubt it. These guys have totally lost it: For instance there is a group that are trying to create tulpas (physical manifestations of thought created by willpower) of pokemon characters:
'Simple explanation: we are developing all our individual psychic powers, concentrating on the mental image of a pokemon until it becomes a physical manifestation of entity.Simpler explanation: I think it, therefore it is.' - Theycanbereal who you can message here: http://www.serebiiforums.com/private.php?do=newpm&u=58104.
Just in case you are interested... which hopefully you are not.