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 blaster ammo.
 * Alien Ship in California
 * Recon Craft Theta in Capital Wasteland

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 Blasters also appear in Fallout 2.

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 childs 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.