One of my favorite short stories is "The Whisperer in Darkness", by Howard Phillips Lovecraft. Lovecraft was an odd duck - fervently racist, sexist, homophobic, and nationalist, yet possessed of one of the most vivid imaginations in early 20th-century writing. His stories were often chock full with bigotry, but Lovecraft was a master at crafting atmospheric, nightmare-inspiring scenes.
"Whisperer" concerns one Professor Albert Wilmarth from the famed Miskatonic University at witch-haunted Arkham, Massachusetts and his inquiry into reports of extraterrestrial activity in the hills of Vermont. Published in 1930, it's one of the first works of fiction to deal with alien abductions, though they take a much different form than in modern media. It also invokes the dire god Nyarlathotep, who plays a central role in many other stories by Lovecraft.
There is (or was) apparently a film version of "The Whisperer in Darkness" being produced by an independent studio in the style of classic black-and-white 1930s chillers, but I haven't heard any news of it in over a year. Here's the trailer, which does a commendable job recreating the feel of the story.
And here is a gorgeously macabre picture of one of the alien creatures from the story.
Buzzer by ~psychohazard on deviantART
Stay tuned - more is on the way!