This isn't my story, but it happened to a friend of mine during a trip across Canada. While in Ottawa, she stayed at a hostel that was formerly a federal prison (more about it can be read here: http://www.hauntedhamilton.com/25_article_ottawajail.html ).
She was alone at night in one of the former-cells-current-rooms listening to her discman on the top bunk of one of the beds. Suddenly her discman shut off and the temperature in the room dropped noticeably. She kept her eyes shut and rolled to face the wall as the temperature fell further and the sound of heavy breathing began to move toward her. She said , "fuck off" and "leave me alone" a couple times but the chill got closer to where she could feel it almost hovering over her, breathing on her neck. After a few big blasts of chill at her neck, it stopped. Her blanket was then violently ripped from her. She finally decides she's getting the fuck out of there and with her eyes still clenched, she rolls off the bed to the floor. She opens her eyes quickly to see where her bag and the door is, but notices her blanket. It's just floating in the air, 7 feet from the ground. It falls to the ground, she grabs her bag and books it to the lobby.
She was supposed to stay 2 more nights there, but she decided on a nearby hotel instead.