I intentionally make up horrors and monsters to lurk in the shadows or under my bed. Sometimes when I can't fall asleep, I stare at a corner of the room, imagining some unsettling creature that could be lurking there, staring back at me (if it has eyes at all). I imagine something reaching up to grab the leg I'm stick out over the edge.
But they can't actually get me. They're created, sustained and dispelled by my will. They may stare at me, reach for me, but they're powerless. When I'm done with them, I send them back to the half-existence in the collection of ideas I built them from.
It's a cruel power fantasy, to make up monsters incapable of understanding that they're the lesser horror between us, but it's fun.
It also seems to help me sleep, but that might just be the fact that focusing my brain on one thing quiets all the background noise.