Humans are thinkers. It's a good thing that we are, it has built us nations and social constructs that allow us to help each other and benefit from the process of thought-to-invention. The down side of our thinking is that we often times have issues with new input. Early man might have seen an eclipse and panicked as they assumed the world was ending, Pilgrims might have seen a person having a seizure and freak out thinking they were a witch. We have a tendency to take issue with novel events and especially when we have only one exposure the unknown - religion.
Native legends and religious texts, lectures by ministers and rabbis and the like have filled our minds in our youth with magical worlds in which God spoke to people, waters parted, or great rain gods came down and fought on Earth. But, those seem to have been magical times, as we have led lives devoid of these magical things that occurred in scriptures and legends. We have only known the practical day-to-day life of mortals.
So, how do you build up your tolerance for the unexplained?
Well, all the reading and TV shows aren't practical experience. Let's look at your head and then your exposure -
First, it's helpful to review what you believe ghosts, aliens, UFOs and Bigfoot could actually do to you.
If you believe that they have the capability of hurting you, killing you, possessing you, or the like, you have no business chasing around after it. But, if you look at it logically, abductees are chosen, ghosts can't hurt you or we'd all be hurt many times over, and Bigfoot wants nothing to do with you and will run and hide from you at all costs.
Consider this the haunted attraction rule: As much as stuff jumps out at you in a haunted attraction, they aren't allowed to touch you, so they can't actually hurt you, just surprise you, make you uncomfortable, or worried about what they will do next.
Now that you've worked on the mind side of this, let's try exposing you to situations that build up your tolerance for self explanation. One person enters a haunted house, hears talking and assumes it's a ghost. Another person evaluates the sound and says "oh, sounds like voices from outside coming through the vent in the bathroom."
When you learn to sit through an occurrence long enough to run through a filter in your head to come to a conclusion, then you are in a healthy place to observe the unexplained.
One person stops at "sound equals ghosts" and another says "it's not a ghost until I can't explain the sound."
Place yourself alone in a room you are uncomfortable in, preferably the basement or the attic. Turn out all lights. Sit in the complete darkness and listen. And feel. And let your mind race with worry of what's around you if it must. This is much like the fear of the dark of childhood. The images in our heads scared us, not what was actually there; chairs, tables, desks, pillows....
Take yourself to a quiet place away from the city. Sit down on a hillside and study the night sky. Watch the lights in the sky, watch the coming and going of these lights. Allow yourself to imagine what you would do if you saw something you couldn't explain. If you have binoculars, study any lights.
Get out into the woods and give yourself some time alone. You don't have to go all alone, but allow yourself to sit down and let your friends hike ahead a ways, allowing you to be alone for a time, to listen, to feel, to imagine. You are building up both your observational skills and your mental process of interpreting what you see and hear. I also suggest you sleep in a tent alone when you're in a group. Get yourself used to just you and your imagination.
How does one rein in his imagination? Well, as a kid, you laid in bed and imagined monsters in the darkness. The more you imagined them, the more you thought they must be there and your body reacted and tensed, making you feel prepared for something bad, which the mind interprets as fact.
It's a mental exercise we eventually learn over time holds no merit because as soon as the light is back on, the same things are there that were there in the dark. So, we learn that images in our heads are produced to prepare us to handle things. For a child, handling being alone is scary, especially since they are still very dependent on others and not so big, strong or brave.
The goal is to get yourself today in a position of feeling prepared. When you feel prepared, the unknown doesn't scare you. You know that, whatever happens, you will adapt.
A shift in perspective and a control of the thought process are critical to being able to tolerate the unknown.
From "it's evil, it can hurt me" to "I am honored to be able to witness something genuinely unexplained," is a healthy evolution of the perspective. How we interpret things can go on autopilot. Ask someone with low self esteem, their first go-to explanation for things is "it's my fault." If you ask someone who is angry, theirs is "it's the other guy's fault."
The only way to really handle the unexplained is to check your thoughts on what you think these things can do to you, put yourself in these situations often to evaluate and figuratively lift the skirt and see what it's hiding.