I loved The Fourth Kind. Thought it was great and freaky. The other movies in this thread I either didn't see or didn't like.
Two other Found Footage alien movies are:
Alien Abduction: Incident in Lake County (pretty good) and Invasion (ok).
I too think the Universe is too big for us to be the only ones. However, personally I doubt aliens have been here, and don't believe in abductions. I am respectful of those that do believe in these things though.
I believe in the paranormal, but get bored debating it. If someone does not believe in these things usually there is no changing their minds. The arguments against are usually old and predictable, and no I do not have proof.