Sun Ra described himself a member of the 'Angel Race' from Saturn - my guess is that he was claiming to be what is now termed a 'walk-in' rather than that he was literally from Saturn (he was actually born in Alabama).
He wrote and starred in his own feature film -
Space is the Place - (which was recently re-released on DVD) as a Christ-like character who flies around in a spaceship resembling the Beatle's yellow submarine. The film is a lot less fun than it sounds - although it does feature Mr Ra in some pretty amazing costumes - and at least half of the running time is devoted to some rather aimless free-jazz jamming.
I hadn't heard of Stockhausen's claims before. For some reason I thought he was dead, but apparently he's still going strong and writing space operas (literally) and string quartets "in which each player performs, airborne, from their own helicopter". Beat that, Spinal Tap!
From the Guardian:
Beam me up, Stocky