This is a conversation I had with my daughter yesterday. She's three and a half.
R - "Why are we whispering?"
E - "So the moon man doesn't hear us."
R - "Who's the moon man?"
E - "He flies down from the moon when you and mummy are sleeping and sneaks into the house to STEAL my ELMO and then flies BACK to the moon. The other side of the moon."
R - "The dark side of the moon?"
E - "Yup, but he doesn't live alone."
R - "What does he look like?
E - "He's grey. With three eyes...and moves like this (Emily wobbles like a Jelly). So SSSSSHHHHH! daddy!"
Daddy most definitely shushes...