Regarding Paranormal Activity, man that movie bored me to tears. I got excited about it and even watched it at home with the lights off and the sound turned up and instead of getting scared I nearly feel asleep. And I do like movies that slowly build the tension, the true terror instead of some of the other horror films, but man I just did not get this one.
But I guess they're pretty popular movies if their on the 4th one already.
Regarding other phenomenon, I get that sleep paralysis where your frozen but your awake, or at least you feel like your awake. Sometimes even with the figure standing over the bed. I guess this phenomenon is what caused a lot of people to believe they have been abducted by aliens, or in older times visited by demons. Or even ghosts. But I believe the medical explanations.
I think sometimes the mind can make things very real, but they're all in you head. Like the story about the panic attack. That could make you see things that aren't there either. And especially draw conclusions that don't make a lot of sense. Not to crap on anyone's story or beliefs, just mentioning how I see the issue.
As for the sleep paralysis, it still really sucks though... The first time it happened it scared the crap out of me. Not being able to move and having a scary dark figure standing over you. Almost like having your worst childhood night terrors come to life! After reading about it I've found I can calm myself when it happens kinda like controlling a dream.
http://en.wikipedia.org/wiki/Sleep_paralysis