This happened to my grandparents back in the 1940s. At the time they were living in rural Manitoba on a farm. As was the case in those days, there was no electricity in the old farmhouse, so the long winter nights were quite spooky.
One cold winter night they were surprised by the sound of someone banging on the door of the farmhouse. Since there were no close neighbors, they were surprised. They opened the door and no one was there. They then heard banging on the windows of the house, as though someone was walking around the house, hitting all the windows. Again, they looked around but couldn't see anything.
The next morning, my grandfather got up early and looked outside. He was alarmed to see a child's footprints in the fresh snow. What was even more alarming was the fact that they were barefoot. So grandpa quickly went out in search of this child, who was walking around barefoot on this cold winter's night, hoping the child hadn't already froze to death.
He followed the set of tracks around the house and then out into the field. The tracks then just abruptly stopped, as though the child was there one second and gone the next. My grandpa never talked about this himself, as I believe he found it to be very upsetting, but my grandma told us this story.