I'm sure everyone knows what those three letters stand for: "Unidentified Flying Object." Too often, however, believers in alien encounters seem to forget what the first letter stands for:
For a UFO to be a UFO, it has to be unidentified. That means you don't know what it is. For alien enthusiasts, however, UFO is synonymous with "alien spacecraft." If you've labeled a dot in the sky as a Romulan warbird, that means you've identified it, hence it is no longer an Unidentified Flying Object.
Sorry to go on about the definition so much, there, but I felt it had to be said.
One of the other things I often get in my dealings with ufologists is "You can't identify it with all your precious science, therefore it's an alien!" No. If we can't identify it, we can't identify it.
"Sir, the most elementary and valuable statement in science... the beginning of wisdom... is: 'I do not know.' (indicates the void in the viewscreen) I do not know what that is." -Lt. Commander Data, Where Silence Has LeaseIt should be noteworthy that often, when a ufologist says something hasn't been identified, it may have already been. Mysteries are often preserved by people who don't want to look for answers. The unknown is a blank canvas where anyone can put their egotistical fantasies. Seeking out knowledge of the unknown removes that possibility, so they're often disinclined to do so.
Also, even if the skeptic hasn't identified a UFO, that doesn't mean it's remarkable. Ufologists will often ramble on about how an object 'maneuvers beyond the capabilities of any Earth craft' before they identify how far away it is. What appears to be a distant object zipping across the sky may actually be a fly passing in front of the camera. You can seldom tell. UFO videos are often shot from just one angle, which make range finding difficult. Multiple cameras with recorded locations would make triangulation easier.
The sky is often filled with weird and interesting things. The same is true for life in general. Pretending that every tiny little not-yet-explained oddity is proof of something that could profoundly alter humanity's perception of the world is just absurd. If you want to prove that something is an alien spacecraft, you have to do a lot more than just bring up mundane oddities.