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The Marfa lights are an unusual optical phenomenon occurring just outside of the desert town of Marfa, Texas. Certain people and media have attributed this to the usual suspects of mysterious phenomena such as spirits or UFOs. Unlike most unexplained phenomena the Marfa lights occur frequently enough to be tested and studied. The general rational consensus is that they're a mirage effect caused by alternating patches of cool and hot desert air which magnify the headlights of cars on route 90 and Highway 67, some 5 miles distant.
The Marfa lights were first reported in 1957 in an issue of Coronet Magazine, though scattered anecdotal accounts put them several decades earlier.
Research (of various sorts)
In 2005 the Society of Physics Students at the University of Texas at Dallas conducted a battery of experiments that strongly supported the car headlight theory, correlating light sightings to traffic density. They also had a vehicle at the perceived position of the lights which confirmed the lights as an illusion.
Others have a more fanciful approach, like James Bunnell of Marfa Lights Research. Bunnell offers a myriad of theories about the Marfa lights, but he's a mild and surprisingly honest crank. On his own website he admits that "while most observed lights can be explained, about three percent are truly mysterious and of unknown origin." Despite it being 97% explicable, Bunnell has several research papers attempting to link the lights to lunar cycles, solar storms, or similar miscellaneous factors. The results are sketchy and often overlook other possible correlating factors. Even when there is no correlation Bunnell is honest enough to publish negative results of this research.
The majority of websites regarding the Marfa lights are ignorant, possibly willfully. Despite the lights' being both researchable and researched, they claim that the lights are totally mysterious and cite an episode of the 1980s infotainment series Unsolved Mysteries which concluded that the lights were both mysterious and unsolvable. Of course, they wouldn't have much of an episode if they found otherwise.