From the Alien Abduction Insurance website:
"Clear facts indicating that you have been abducted by aliens:
You can hear voices in your head. This can probably be the sign indicating that you were abducted by aliens, but before claiming that fact make sure you don't have earphones on."
Interestingly, in the Wikipedia section on notable alien abduction claims, six of the eleven listed are from the USA. This means that either Americans are more interesting to aliens than anybody else, Americans are more prone to make a claim, or other countries are underreporting.
And don't forget to mark it on your calendars: March 20th is Alien Abduction Day. Along with making sure your bags are packed and your shots are current, that link will point you to many more helpful resources including hot spots for UFO watching and alien abduction safety (like, in case you want to refuse going, for some crazy unfathomable reason). The PDF pamphlet on "How To Refuse Alien Abduction" is solid gold, not to be missed.