Well, I've never personally had any such experiences, but I can tell you of a couple that certainly make me wonder.
My Dad is a very conservative, down-to-earth ex-military guy. Not into fanciful imaginations, if you take my meaning. He was studying with some folks who said they were having strange and unnerving experiences. The conversation eventually turned toward the possibility that they might own something that was "demonized." The only thing they owned that they thought might "qualify" was an old necklace. They gave it to my Dad to dispose of. He drove down to the Burnside Bridge and threw it off into the Willamette River. When he came back, he was white as a sheet, visibly shaken. We asked what happened? He said "When I threw that necklace off the bridge, I heard it shriek all the way down till it hit the water." That was his one and only experience with paranormal phenomena; and the people he was studying with didn't have any more problems (they also didn't become JWs ).
Another brother, Matt, was a big barrel-chested Czeck; also a very conservative man and by no means superstitious. He was studying with some people, and noticed when he walked past this particular mirror in the hallway that he always felt an unusually cold breeze. He asked the people if they noticed that, and they said, yes, and that other "things" had happened with that mirror that made them really nervous. They asked him to destroy it. So he took it out into the back yard and took a swing on it with a 16# sledge. It bounced right off the glass. He swung twice more, and each time it bounced. The 4th time, the glass broke, and turned literally to dust.
I can imagine some scenarios that might explain these incidents...but, honestly, I just can't say for sure.