This happened when I was a little girl, around 4 years old. It was late at night and my brother visited my room because he wanted to play. So I got out of bed (very quiet because my parents were downstairs and I was supposed to sleep) and started playing with my brother.
Then my parents came upstairs to go to bed. They gave me a goodnight kiss every night so they entered my room and saw me playing.
They asked me what I was doing and I told them I was playing with Kevin (my brother). The look on their faces was really weird, but they put me back in bed and we never talked about it again.
A few years later this subject came back. I was around 10 years old (btw I'm 18 now) and I didn't understand why I always had to go to bed and Kevin was able to stay downstairs as long as he wants. And why Kevin didn't have his own bed...
Then my parents told me that indeed I had an older brother, but that he was born dead. Kevin didn't have a bed because he wasn't alive.
For me that sounded unreal. Kevin was real to me! I saw him, a lot. He looked like me, but he was a boy. We could have been twins.
Now I don't see my brother around that much, but I still believe he is out there, watching over his little sister and his little brother.
When I really need something I always ask him to help me and it always turns out to be okay.
Even though I can't hug my brother or really talk face to face with him, I still know he is there, watching over me and guiding me through life.
Sorry for grammar mistakes, English isn't my main language.
I have more experiences with the supernatural and maybe I'll write them down.