Boy, another easy one.
1. The Winhill Bluffs, the area right around Winhill (The UFO drags a cow across the screen)
2. Mandy Beach, just south of Timber (The UFO drags an Easter Island style statue across the screen)
3. The Kashkabald Desert, just west of Cactuar Island (The UFO drags a Pyramid across the screen)
4. A small island to the east of Trabia Gardenwhich is considered part of the Trabia Heath Peninsula, but which is actually seperate, and has no coast line. You need the Ragnarok to get there. (The UFO drags...some weird object across the screen. I can't tell what it is)
And the final sighting is the plateau just north of the Chocobo Sanctuary. You also need the Ragnarok for this one.
The sighting in Balamb is of the alien, not the UFO, so I won't bother with it.