One of the best explanations, from a Christian perspective, that I have heard is: Demons are spiritual beings that predate Eden and have always had the ability to possess mankind. Demons are also personalities with a memory and carry with themselves memories from their own past. The memories of the demoniac become intermingled with the possessed person's memories and the person then perceives, in a shadowy, vague way, the past memories of the demonic entity as being their own. So that a possessed person then can remember existing in the past as the same or different sex, in a different place and time. Scripture teaches that legions of demons are able to possess the same person at the same time. Later the same legions can be dispersed and possessing many different others. So that many people can in fact seem to have the same past-life memories of being a particular person in the past.
I also think that demons are more likely to pursue possessing notables like Hitler, Alexander the Great, Saddam Hussein etc...
I think I saw that on TV once. Didn't Satan shove a pineapple up Hitler's you know what?