Another common misidentified UFO is the lenticular cloud. These unusual clouds are often shaped like flying saucers, and are like most clouds in that they are formed by water droplets. 

Lenticular clouds are usually formed over rugged terrain during high winds, and are quite noticeable when there are few other clouds. iwasabducted.com forum member Tom Davis elaborates:

These are lenticular clouds, and are very common. Why does this cloud look so strange? Actually, pictured to the right are several clouds stacked up into one striking lenticular cloud. Normally, air moves much more horizontally than it does vertically. Sometimes, however, such as when wind comes off of a mountain or a hill, relatively strong vertical oscillations take place as the air stabilizes. The dry air at the top may be quite stratified in moisture content, and hence forms clouds at each layer where the air saturates with moisture. The result can be a strongly layered appearance. The same lenticular also looks strange when 30 miles away when only the top is visible.