When dealing with such issues, we need a healthy dose of skepticism. That doesn't mean we should close our minds to everything out of the ordinary, but as you said, we can't be so open-minded that our brains fall out. We need to maintain a good balance between the two, which means carefully looking at the evidence, examining all the possible explanations, and approving a hypothesis only when the others have been ruled out. Or, if there are multiple competing hypotheses that seem equally likely, remember Occam's Razor, which states that the simplest is most likely the correct one. We have to be careful, when selecting something as fact, to make sure that it is falsifiable. That is, it should be possible to prove it wrong if it is indeed wrong. I would recommend reading The Fine Art of Baloney Detection by Carl Sagan which deals with this.
Take for example the lost continent of Atlantis. Polls show that about a third of adult Americans believe that in the distant past, an entire continent sunk somewhere in the Atlantic Ocean (or one of a myriad of other locations). Now, geologists have a pretty good idea of what sorts of things happen to continents and what erodes them, and they're thoroughly convinced that nothing can destroy an entire continent overnight. If this did happen 10,000 years ago (a very short time on a geologic scale), we ought to have seen some evidence of this, some large continental shelf somewhere, some ruins of ancient cities somewhere on the ocean floor. We have found none. You'd think somebody from this civilization, if it was nearly as advanced as its proponents claim, would have sailed out to other lands and introduced their advanced technologies to other civilizations, or at least left some kind of evidence of themselves. We have found none. And what is the source of knowledge about this lost continent? Plato. An entire advanced civilization with thousands or millions of inhabitants, and only one guy wrote anything about it, in a work that might very well have been intended as a work of fiction. Go figure.
That doesn't mean we need to throw out anything that sounds too good to be true. There are tons of such weird theories out there, and most of them are most likely false, but we need to be open to new ideas. New ideas are how science evolves. But we need to test the new ideas to make sure they're not just figments of people's imaginations. Take Galileo as an example. To the people of his time, it was unthinkable that heavy things do not fall faster than light things. It was unthinkable that the Earth was actually rotating around at thousands of miles per hour and yet nobody could feel it. But because of him and many other scientists, we now have undeniable empirical evidence that this is the case. People once doubted the possibility of lucid dreams, but thanks to the experiments of researchers like Stephen LaBerge we have empirical evidence that it is a real phenomenon. That's the key: empirical evidence. That's what sets astronomy apart from astrology, conventional medicine from faith healing and homeopathy, evolution from creationism, and psychology from parapsychology.
It is also important to remember that just because we don't have an adequate explanation for something, that doesn't make it "supernatural". People used to have no idea what caused rain, earthquakes, volcanic eruptions and diseases, because they simply didn't have the tools to understand what was going on, so they attributed these things to the work of supernatural entities. In the modern age of science and technology, we now know a lot more about the universe, so supernatural entities can only exist as explanations for those few things we don't fully understand yet, like consciousness. Consciousness is a very complex phenomenon, undoubtedly the most complex issue in all of biology. Just because we don't have any comprehensive theories about how everything in the mind works, people like to assume that our minds are really controlled by immaterial entities in some sort of parallel universe of "soul stuff". But if our personalities really come from such a place, how can chemical drugs and brain injuries alter someone's behavior and personality like they do? All the empirical evidence points to the brain as the origin of consciousness, and just because it is so complex that we don't get how all of it works doesn't mean that we need to posit some sort of supernatural entity behind it. It's okay to say "I don't know", to admit that we don't have all the answers when we don't. Be open to new theories, but don't jump to conclusions until the phenomenon has been thoroughly tested. As Carl Sagan put it, "extraordinary claims require extraordinary evidence".
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