The following is an account of a fairy frolic said to have happened late in the last century:--The victim of elfin sport was a poor man, who, being employed in pulling heather upon Peatlaw, a hill in Selkirkshire, had tired of his labour, and laid him down to sleep upon a fairy ring. When he awakened, he was amazed to find himself in the midst of a populous city, to which, as well as to the means of his transportation, he was an utter stranger. His coat was left upon the Peatlaw; and his bonnet, which had fallen off in the course of his aerial journey, was afterwards found hanging upon the steeple of the church of Lanark. The distress of the poor man was, in some degree, relieved by meeting a carrier, whom he had formerly known, and who conducted him back to Selkirk, by a slower conveyance than had whirled him to Glasgow.
That he had been carried off by the fairies was implicitly believed by all who did not reflect that a man may have private reasons for leaving his own country, and for disguising his having intentionally done so.
From Scottish Fairy and Folk Tales
by Sir George Douglas
 - his source supposedly being Sir Walter Scott's "Minstrelsy of the Scottish Border".
What sort of cynic would doubt such a story (especially as his hat was found on the steeple). But if you are ever tempted to 'do a bunk' and start a new life somewhere - perhaps it's not that advisable these days to profess you were kidnapped by the fairies. Call it aliens or something (more fashionable).