Alien

While there is some evidence of the existence of Extra-Terrestial life forms, it is very scarce and there is no evidence of there having ever been actual contact with these creatures.

Both the Brotherhood of Steel and the Shi have come into contact with bodies of alien life forms or their spaceships, as did the pre-War United States government, which kept its alien specimens mostly in Area 51, if you believe in that sort of thing...

Contrary to popular belief, the creatures commonly known as "aliens" or "wanamingos" are not of extra-terrestial origin, but were created through genetic engineering and have nothing to do with the actual aliens described above.

Crashed ships
Two alien ships are known to have crashed in the United States: There are events in Fallout 3 where an alien ship will explode whilst above the player. The reason for this is unknown, although it is speculated that this is a way to obtain more Alien Power Cells. The alien at the crash site appears on the ground outside of its cockpit, the almost spherical window of which is shattered. Judging by the green goo (blood, presumably) inside the helmet, it is reasonable to assume that the alien died of some sort of head injury, likely from its skull breaking against the inside of its helmet upon impact, seeing as how the helmet itself is still intact. Shortly before arriving at the alien's crashed ship, the player will pick up a mysterious radio signal called Recon Craft Theta Beacon. It appears that the alien either released a distress signal shortly before its untimely death or the ship itself sent out the signal automatically to seek aid.
 * Alien Ship in California
 * Recon Craft Theta in Capital Wasteland (Fallout 3)

Alien technology

 * Alien Blaster - a weapon of alien origin
 * Firelance - a stronger variant of the former
 * Alien Power Cell - the power source for the Alien Blaster
 * According to its own records, the Skynet computer was created based partly on alien technology (however, Skynet is not entirely reliable)

Appearances
Crashed alien ships appear in Fallout and Fallout 3. Alien Blaster appears in Fallout 2 and Fallout 3.

There's an alien looking skeleton in Fallout 2 identical to the one at the crashed ship in Fallout 1. It can be found in the Living Quarters of the Sierra Army Depot. Its giant head is hidden by a wall until you walk over it, making it look like a child's bones from far away. However, it is explained in the doctor's notes in the base as an experiment with Mentats, not an actual alien.

Presumably we'll see them in one form or another in the forthcoming Fallout 3 DLC, Mothership Zeta.