hmm, my first thought would be ahh so it's not all government deceit after all.
My reaction would depend on what the alien does though. Whether it is friendly or not.
Its silly to think that we are alone in this existence, but I still think the whole grey thing is project blue book, whether or not ET's of some sort are circling around our planet at this time, I wouldn't be surprised, but I would certainly need to meet one first before I give it my full belief.