In addition to the Phoenix Lights, I am reminded of the famous "Los Angeles Air Raid" that took place several years prior to the oft-cited Roswell incident.
Recently, a documentary on the History Channel covered that mysterious event in 1942 when a massive anti-aircraft military barrage was focused on something over the city. Some believe it was an invading Japanese squadron (the event transpired mere months after Pearl Harbor), others think it was a covert exercise meant to keep Angelinos at a state of readiness, and some UFOlogists think an otherworldly battle transpired. The official line is that an escaping weather balloon (ah, good old weather balloons) triggered a series of events that played upon the trigger-happy "war nerves" of soldiers.