Things that go bump in the night
Frightening but imagined supernatural events.
The earliest known example of the phrase in print is in the 1918 in the Bulletin of the School Oriental and African Studies:
"To a people ... who ... believe in genii, ghosts, goblins, and those terrific things that 'go bump in the night', protective charms are eagerly sought for."
That usage suggests that the author expected his readers to be familiar with the phrase. Around the same time the phrase was incorporated into a prayer:
From goulies and ghosties and long-leggedy beasties
And things that go bump in the night
Good Lord, deliver us!
This was recorded in The Cornish and West Country Litany, 1926, but it quite likely to be much earlier.