Actually, contrary to tetron's (idea), the common conception is that little green men are from Mars, you know, Martians. Straying (slightly) from myth now, I'd like to address the fact that many people alive today, (whether they have been struck by a collective delusion or psychosis or whatever after listening to too much Art Bell, nobody can be sure), strongly believe that they have been visited by these little green men except that, shock me shock me, they are not little, or green, and maybe not even men. After perusing a few alien fanatic sites it became clear that among the alien abduction community there is an accepted and widespread belief of the different alien 'races'. I will outline them briefly here now, and provide links if you want to check out the craziness further. (Although, I would like to point out that I find the concept of aliens far easier to believe than the concept of a big fat omnisentient God with a capital G in the sky and all invisible and stuff).

The Greys

There are several sub-types of the greys. All tend to appear grey, or greyish in color and for this reason and shockingly, no other, they are refered to as "greys". They have large heads and black "wrap around" eyes. They have limited facial features, a slit for a mouth and no nose to speak of. They have evolved beyond the need for reproductive systems or digestive systems and reproduce by cloning. Their genetics are apparently partly based on "insectoidal genetics". Their science deals largely with the study of other life forms and genetic engineering. They have supposedly had a part to play in the alteration of human genetics over thousands of years (allegedly explaining the missing link). It seems that they may be trying to cross breed with humans in order to create a "hybrid race" that would be better than either. They seem to be emotionless and therefore are taken as cruel in their treatment of human beings. These greys are actually servants to a master race of reptilian-type aliens known as the Reptilians.
Link to check out:

The Reptilians

With genetics akin to reptiles, these are highly advanced entities but viewed as owning a negative, hostile or dangerous disposition since they regard humans as a totally inferior race. They would perceive us much the way we would perceive a herd of cattle. Reptillians are carnivorous in regard to humans. They consider earth to be their own ancient outpost and would expect to have complete control of the entire planet upon their return. Their own planet is becoming unable to adequately support life and they need somewhere else to live. They have the greys "working" for them as they wish not to be seen.

Ataien/Praying Mantis

Long narrow faces, slanted large eyes, long insect like body with strong resemblance to the praying mantis. People who claim to have had ET experiences have reported this being is no insect but an intelligent, gentle-spirited but somewhat hyper and jerky moving, human like lifeform (both male and female). Most are around 6ft. tall and their colouring ranges from light gray to gold. They used to survive on plant juices but have evolved to the point where they can live directly off the energy of light. They have wings but do not need them for travel, they sometimes fly for meditation.

The Chupacabra

The Chupacabra is about a metre (3 ft.) tall and weighs close to that of an adult goat. He has scaly skin with dark grey or brown hair covering his body. He stands and walks on its hind legs and has two smaller forearms with sharp claws (like a T-Rex). He has spikes going down the back down to it's long tail. He also has sharp fangs protruding from his mouth and it's with these fangs that he has punctured the neck of many animals especially goats (hence the name chupacabra which means "goat sucker" in Spanish). He has bright red eyes, a forked tongue, and resembles the grey alien with the oval shaped head and wrap around eyes. He is very intelligent and has the ability to fly with his spinal quills. Their main food is the blood of animals; he lives in underground caves and waits until night to feast on animal blood. They've been seen in South America, Puerto Rico and most recently in the U.S. (Florida and Texas).

The Varginha EBE's

In January 20, 1996 between 1:30-5:30 A.M., a UFO was believed to have crashed in a suburban neighborhood in Varginha, Brazil. There were many witnesses. People described them as being 4-5 feet in height, emitting a strange buzzing sound (like a swarm of bees), having 3 rounded protuberances on top of head (like horns), oily brownish skin, big red eyes, and a strong smell like ammonia. It seems to be a cross of the grey aliens and the chupacabra.

The Pleiadians

Blonde or in rare cases brunette "Nordic" type humans based in the Pleiadean 'Taygeta' and other systems which were allegedly colonised by refugees from their former planetary abodes in the Lyra constellation which were invaded by the reptoid entities from Alpha Draconis. The Pleidians are a highly evolved, spiritual, benevolent variety and have a kinship toward humans and are the only aliens to be truly trusted by earth humans at this time. They had at one time offered to be of assistance to earth leaders in dealing with the alien situation here, but were rebuffed and so have taken a kind of "hands off" approach for the time being. These aliens are supposedly the forefathers race of humankind.

Men In Black

The Men in Black are also known as M.I.B. ,Horlock's, and UFO Silencers. The classic conception of an M.I.B. is a man of indefinite age, medium height and dressed in black. Most often seen with a black hat, sunglasses and black suit. They have pale greyish skin, and seem to have light brown or blonde hair. Witnesses have described them as having mechanical behavior, like a robot or android and speak with a monotone voice. They seem to be sensitive to light. They have posed as salesmen, telephone repairmen or representatives from official or unofficial organisations. They are reported to arrive following alien encounters or UFO sightings. They intimidate witnesses into keeping silent about what they have seen. Their mode of transportation are usually large and expensive cars such as Buicks, Lincolns, sometimes Cadillacs; all black of course. Unusual insignia have been seen emblazoned on the doors and licence plates which are always unidentifiable or untraceable.