Roswell

I coined a term for this called the Roswellian Syndrome, and that is — we have a report; an exciting report of something extraterrestrial. Then we have it shot down, if you will — and it goes away. But it never really goes away. People's memories start playing tricks on them, so they're all put into this burgeoning folklore of the hidden saucer. Roswell is a town in the U.S. state of New Mexico, known primarily as the birthplace of actress the boyhood home of astronaut  and something involving UFOs.

What actually happened
Well, there's quite a story there, but far less exotic than the UFOlogists have always said. The truth is, something did crash at Roswell. Although the term "flying saucer" was used in the newspapers in the area at the time, it was retracted in favor of "weather balloon." Neither was exactly accurate, though the latter is far closer to the truth.

On 14 June 1947, Roswell rancher William "Mac" Brazel found a tangled clump of balsa wood, tinfoil, and some oddly decorated tape. Some military men from the nearby Army air field came by and picked it up, somehow mistaking it for a flying saucer. The Pentagon, realizing that it was a radar reflector from a nuclear weapons test detection system they'd been working on called called it a weather balloon and stopped talking about it. The first wave of the UFO craze started about a week and a half later in Washington State. Roswell would remain forgotten until the late 1970s, when true believers started investigating the story, jumped to a lot of conclusions, and elevated it into a gigantic conspiracy theory.

Roswell (the incident) has long since become a major moneymaker for Roswell (the town), and has become a byword for UFO believers (as a great coverup) and UFO skeptics (as a symbol of tenacious credulity).

What didn't happen
Aliens came to Earth from another galaxy but then crashed and died.

What? Are you telling us that an alien race engineered an inter-galactic drive, but didn't invent seat belts?

Stalin and Mengele
Area 51, a 2011 book by one Annie Jacobsen claims that the Roswell incident was the result of a botched attempt at psychological warfare against the United States by the Soviet Union. According to her book, Stalin tried to throw the US into a mass panic similar to the panic caused by Orson Welles' War of the Worlds by sending a remotely-controlled experimental aircraft with a payload of children surgically modified to look like aliens by no-one else but Dr. Mengele himself. In return Mengele was apparently promised a secret eugenics lab, which is particularly bizarre given the Soviet Union repressed most genetics research. According to her account, it didn't work out because the aircraft crashed, the US military retrieved the wreckage and covered it up. Yeah.

The story is based on a single, anonymous source and it is unclear if the source made this up to pull Jacobsen's leg or if she exaggerated or misinterpreted what she had been told. Some of the rest of the ex-Area 51 personnel interviewed by her for the book are really not amused by the "revelation." It is very likely that the story is a publicity stunt to sell the book. Needless to say, the UFO believers are not convinced at all.