I know everybody thinks "oh, it would be so cool if I were to get abducted", but how would you really feel? Something comes to your house and takes you against your will and begins doing strange tests on you. I guess what it would mostly boil down to would be the temperament of the aliens that were abducting you, but what about the time before you would even get to that?
First would be the feeling of confusion, what is going on? Where am I and how did I get here? Then there would be almost immediate fear once you realize that you don't recognize your surroundings, fear for your life because you do not know if you are in danger, you do not know who has kidnapped you. You will not even think that you are on an alien vessel. The first thought at this point would most likely be "Who has done this to me and what do they want?" and think that you were in a Silence of the Lambs type situation of a crazy person that wants to torture you.
Once the initial panic has passed you would probably begin looking around trying to find clues as to your whereabouts. You may be loose in a large room or you may be strapped down to what appears to be a hospital bed. You would start to look around and maybe see a language that you do not recognize. In your mind you would see this and possibly rationalize it as an East Asian language because you are not thinking of the possibility of it being alien.
About the time that you calm down and come to terms with the fact that you are in a situation that you have no control over, the first one enters the room. You recognize the familiar shape from movies, stories, and cases that you were never sure if they were real or not and now you get a slap of reality right in the face. At this point I ask, how would you react to it?