When I was ten this happened to me while I was "helping" my brother-in-law work security at night where he attended college at.
So anyway, one night another guard and myself went out and locked up the gym they have on campus. About 30 minutes later we went out on car patrol and as we rounded the corner all the lights were on (everything from the big gymnasium lights to the little office lights) and every door that we locked was unlocked and opened. The guard that I was with called into the station and told my brother-in-law what was going on, the only thing he did was start whistling the tune to the twilight zone. This is the only experience I've had but I never worked security again at night.
My brother-in-law has told me about many weird things that go on at the university, like a red light being seen in the dining hall but can't be found and footsteps accompanied by a little girls laugh in the science building.