Do your pets have "imaginary friends"?

Just about every night as my family and I settle down for bed, one of our shepard-mixes starts to run around from room to room, as if she were following something, but there is never any thing there. And, most of the time, its only her. That was the case until, one night, whatever she was chasing came into my room. My mother said that she sat watching and while the dog( Shasha) stood and stared at the door, she heard the ferret cry. Those of you who have ferrets know how it sounds when a ferret is begging someone to let it out of its cage. Well, Baby only cries like that when thers someone moving around near his cage because it upsets him. Anyway, I know that whatever Shasha is chasing isn't a rodent because all the cats and dogs would show some interest. Besides, she seems to be playing. Maybe its just some dog game. Have any of your pets ever displayed behavior like this? What were you able to find out?