Seven Wonders

The Seven Wonders of Twilight Town are seven strange phenomena in Twilight Town. Roxas, Hayner, Pence and Olette decided to investigate them as a school project on Roxas' fifth day in the simulated Twilight Town, although in Pence's own words: "The rumors were bogus. The end."

The Spooky Steps
According to rumor, the number of steps on the staircase leading to the train station changes between going up and down. However, it is revealed that Rai was the one who made this claim and was simply stupid enough to miscount.

The Friend From Beyond the Wall
People occasionally find a multitude of balls around a bricked-off alleyway, most of which are thrown as if from the wall at the end. Roxas discovers a portal most likely caused by the Nobodies, suggesting that they too are the ones throwing the balls, but Pence assumes that Roxas is the one throwing them.

The Moans From the Tunnel
Moans are occasionally heard coming from within a dark, currently closed tunnel system underneath the city. Roxas finds Vivi there, who multiplies and attacks him. After Roxas fights off the copies, the "real" Vivi arrives. Pence concludes that the sounds were Vivi training in the tunnels. Behind them, Vivi transforms into a Dusk and slips away.

The real Twilight Town's equivalent to the moans from the tunnel are caused by a vent; when the wind blows through it, odd echoes can be heard, and are mistaken for moaning.

The Doppelganger
Roxas inspects a waterfall where people reportedly see their own doppelgangers. While doing so, his reflection in the waterfall comes to life, transforms into a shadow of himself and fights him. After Roxas defeats his shadow clone, Pence finds him and realizes that people have mistaken their reflections for their doppelgangers, though that does not explain the case of Roxas's shadow...

The Animated Bag
Atop Sunset Hill is a sack that occasionally moves and hops around. Roxas approaches the bag and grabs onto it until it tires out. He and Pence discover that it there was merely a dog trapped in the bag; however, unbeknownst to them, the dog is a Nobody in disguise.

The Ghost Train Mystery
According to rumor, a train with no one on it that leads to nowhere can be seen at sunset each night. However, Roxas is the only one who can see the train, his friends neither confirming nor denying ever seeing it themselves. The "ghost train" is actually the train that leads to Yen Sid's Tower, but cannot be accessed.

The Lonely Girl
It is said that a girl can be seen in a window on the second floor of the Old Mansion, despite it being abandoned. The girl is none other than Naminé, though Pence dismisses the phenomena as a curtain flapping in the wind.

The "Eight Wonder"
Pence discloses this rumor to Axel and Roxas as they search for the missing Xion in Kingdom Hearts 358/2 Days. Apparently, shaking a particular tree will cause the entire forest to do the same. Others have reported the feeling of being watched in the forest.

Explanation
The source or cause of the seven wonders is never revealed in the game. However, after each wonder is investigated (except for the last one), the screen fills with static, after which Pence shows up and offers a rational explanation for what happened. It seems that the wonders are not deliberate, and DiZ actively works to keep Roxas from investigating them fully. Thus, the wonders may be glitches in the simulation's programming, or attempts by Organization XIII to undermine DiZ's simulated world.

It should be noted that the Moans from the Tunnel and the Animated Bag were, in fact, attempts by the Nobodies to breach into the simulated Twilight Town, as Vivi and the dog disappeared as Dusks after the confrontation with Roxas.

Trivia

 * In Crisis Core: Final Fantasy VII, Zack Fair, the main character, is confronted by a side quest similarly titled the "Seven Wonders of Nibelheim." However, the investigation of these wonders is entirely optional and can be ignored if the player so chooses. A similarity between the two "Seven Wonders" is that after the examination of each wonder in Nibelheim, either Zack or the child he reports to will think of a logical reason to undermine the theory of each wonder, comparable to Pence's actions after Roxas checks out each "wonder" in Twilight Town.