Daniel Dennett provides the best explanation for the supernatural I’ve heard yet:

…the urge is very strong to interpret things that move in irregular ways…as agents. A favorite demonstration of this in introductory psychology is a brief animation…[that] shows two triangles and a circle moving around, in and out of a box. The geometric shapes couldn’t look less like people (or animals), but it is almost irresisible to see their interactions as purposeful, driven by lust, fear, courage, and anger…

We are born with an “agent detection device,” and it is often on a hair trigger. When it misfires, as it often does in stressful circumstances, we tend to see ghost, goblins, imps, leprechauns, fairies, gnomes, demons, and the like where all that is really there are waving branches, toppling stone walls, or creaking doors.

- Intuition Pumps And Other Tools for Thinking, Daniel Dennett