Not sure if Glastonbury Tor counts as a megalithic site, but I did see something there that could be loosely termed a UFO. Looking up at the sky, I saw what appeared to be a shooting star - same luminosity, same speed of travel. However, without any slowing of its pace, it changed angle and veered sharply off at 90 degrees. Not very remarkable, but I can't think of anything man-made or natural that would do that.