Here's a fun one that I just came across. A Time Magazine article from 1960 covered the detection of a mysterious "dark" satellite orbiting earth. The DOD came up with an explanation for the anomaly.

Of course, the story doesn't end there.

A message from a previous set of radar echoes received in the late 1920s, decoded by Scottish scientist Duncan Lunan in the 1970s, claims to be intelligent in origin and speaks of an attempted contact by an ET in Epsilon Bootis.

Philip K. Dick apparently claimed to have been in contact with a similar object.

Eventually, some folks with a bit of imagination tie these things together and dub it "The Black Knight."

I'm not making a claim one way or another - just passing it on as an interesting anomaly, or maybe 3 of them. It's all covered here, along with a good helping of additional space anomalies:

http://www.thelivingmoon.com/49ufo_files/03files2/Black_Knight_Satellite.html