Now that the thread has slowed down, have a conspiracy theory I came up with while watching UFO "documentaries":
What if all the UFO stuff from Roswell on began as deliberate attempts to hide US experimental aircraft (including Project Mogul) and US observations of Russian aircraft from the public that then morphed into a deliberate attempt to falsify and hide secret, captivating, and ultimately harmless information that could not possibly originate anywhere else? That way, whenever it showed up out in the wild or in other countries' hands, it could be more confidently traced back to its source and serve as a way to find and exclude people unsuited to handle classified information. Suppose it then metastasized into a whole host of secret projects whose whole point was to be conspicuously secret, partly justify the defense budget, and let people feel special for knowing super-classified information that not even [insert important official here] knows?
There need be no extraterrestrials or physics-defying super technologies, just a lot of paranoid people deeply enjoying the ego trip they get from having a need-to-know secret the other guy doesn't need to know. While collectively an operation of significant size, it would inherently be compartmentalized to test compartmentalization (and because secrets are more impressive when fewer people know them), and of course no whistle-blower would have any concrete proof that the alleged proof did not exist.
So there you go: it's not that there are extraterrstrials and the government is lying to us, it's that there are no extraterrestrials and the government is confusedly, officially-unofficially, and pompously lying to itself for kicks.