Well, based on some very simple things I've heard like how greys have humanoid features, I had this idea that they might be some form of future human, evolving into annoying little creeps with their oversized heads, night vision large eyeballs and short physique and coming back to bother humans from the past.
Then again, thats based on very little data, wiki, movies and other learning materials I have available to me.
That reminds me, I once stepped into a train and someone had a very weird look, he noticed I noticed him. Looked like his eyes were somehow large and slanted. Maybe political correctness is just some social pressure for us to not notice their infiltration into human society. Hey, maybe he thought I looked weird too.....
*Waves tentacles*