As far as I know, with the possible exception of remnant trees on Mars, there is no life other than here in our system; that means that an alien coming here now would have to be coming from another star, which is just terribly hard. Here to Mars versus here to Alpha Centauri is more or less like a foot or so versus four miles. All odds and smart betting should be against it.
Now, if you want to talk about visitors eight or ten thousand years ago, that's a different deal altogether. Inhabited places in our system prior to the series of calamities culminating in the flood would have included Earth, Mars, our own moon, and possibly others such as Titan.
Aside from planets and moons, and despite any and all NASA and ESA efforts to cover this stuff up, we have the following:
.
Iapetus, Saturn's little moon with the 9 km high wall on a great circle arc, almost certainly artificial.
Phobos ( http://www.enterprisemission.com/Phobos.html )
As Hoagland notes, you can all but count the rivets. Phobos was known to be non solid as early on as the 1960s and ESA radar imaging apparently shows rectangular interior spaces. One full color view shows the thing to be clearly metallic:
Steins:
Finally, we have the weirdest item of all. Given what we know about catastrophes within our system a few thousand years back, and given that people living in the system in past ages were space faring; you assume they would have seen the storm coming, and would not have had a way to know whether anything in the system would remain habitable or not. They would have tried to make it out to the near stars. That would have involved a large number of very large ships, and it's possible that one or two of them might not have made it out, and that we might find the remains of one such item sooner or later.
That is on the back side of our own moon apparently and google or youtube searches on 'apollo 20 alien ship' will turn up endless discussions on the subject. Supposedly, the video sequences arise from a reel of 9mm tape which one of the Apollo 20 astronauts released to the public on his death bed. If I had to bet it I would bet that the story is straight up and legit, the film sequence would be very difficult to fabricate, experts say the shots of the Apollo vehicle interior are for real, and there's no motive. People who make things up for youtube don't put that much effort into details.
http://www.youtube.com/watch?v=7hDI-uB6 ... 409BB68739
You can see where the guy with the camera sees the artificial object and zooms on it around 2/3 of the way through the video. And, as per the previous discussion, this thing, again assuming it to be real, would not fit in your garage easily; it's about a third the size of Manhatten.
A vehicle that size, in my opinion, could have but one purpose, i.e. escape. It would be a space-faring version of Noah's ark.
The possibility you have to consider is that we may actually have relatives out amongst the near stars, descendants of people who survived and made it out of our own system in vehicles like Steins or that thing above. That strikes me as the most major incentive for inter-stellar travel. The thing you saw in 'Avatar' doesn't really work from a money perspective, i.e. there's nothing you could hope to bring back from such a trip which could justify the cost.
Basic bottom lines: evidence of space faring which we have from the ancient world refers to space faring by people, not space aliens, from our own system, and not from other stars; the time frames involved are thousands or at most tens of thousands of years (prior to now), and not hundreds of thousands or millions.