Ah, the old "found footage" trope. It's popular in both TV and film, just like it in the world of audio fiction. But without the shaky cam, which I think we can all agree is a good thing. Listen to these stories, all of which have some type of message from... the other side, outer space, or somewhere else as the main plot device.
Wyrd Woman
Dramatized modern slipstream fantasy series
Hovering
Dramatised small town mystery/drama