This is ironic because I have a family member who is fascinated by UFO's and we were just talking about them everyday.
Someone here already touched on this, but I have to admit the first thing I'd ask an alien is what God he believed in.
If he told me he serves "The Emperor Zurg" or some other god, I'd be a bit skeptical (I realize aliens would most likely speak another language and have a different "word" for "God", but I'm presenting a scenario in which they believe in a completely different god or system.)
The Bible tells us of one God who is the God of the entire universe, no matter how vast it may be or what it contains, and that we are to test the spirits and disregard any that does not confess the name of Jesus Christ. It also says that even if an angel appears but preaches another gospel other than Christ, don't follow it.
For me, I think this is one of the most fascinating things I'd want to know about aliens--what god do they believe in, and why? If it did not believe in God, I would know, no matter who or what or how cool it was, that I'd better not follow it.