I saw a grey alien once that looked a lot like the pictures shown on that tv show.
I was asleep, and something glowed faintly against my eyelids, moving towards the door. The movement and glowiness woke me up. I opened my eyes and saw it, then half-raised on my elbow and said "what the?" out loud. It froze in place as soon as I moved, and then faded out.
It was grey, about four feet tall, had large black eyes, and was very, very slightly glowing whitish. It was moving from the open area in the room as if towards the door, as if it had just appeared in the open area near the wall. I only saw it in semi-profile, not straight on, but it looked a LOT like the smoother-cheeked drawings on that show.
I saw an alien... and I am still not sure if it was a hallucination or not. I have never seen anything like that before or since, except that I have seen other things while mostly-asleep that faded out like that, and those other things definitely WERE hallucinations.