Seven Wonders

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

The Spooky Steps
According to the rumors, the number of steps on the staircase leading to the train station changes depending on if you're going up or down them. However, it is revealed that Rai made this claim, and Pence explains he was simply stupid enough to miscount.

The Friend From Beyond the Wall
A bricked-off alleyway, when Roxas approaches, large white balls shoot out from the wall, knocking him back. Roxas must dodge or deflect the balls to make it back to the wall and touch it. Afterwards, Pence finds Roxas and assumes he was throwing the balls.

The Moans From the Tunnel
A darkened tunnel that's part of the unfinished tunnel system underneath the city. Roxas finds Vivi here, who multiplies and attacks him. After fighting off several Vivi copies, the "real" Vivi appears to Roxas, and Pence finds them. Pence assumes that the sounds were Vivi training in the tunnel. Vivi walks away behind them, then transforms into a Dusk and slips away.

The Doppelganger
Roxas inspects a waterfall with his reflection appearing in it. The reflection suddenly emerges from the water, walks behind Roxas and becomes a shadowy doppelganger of him. After Roxas defeats it, Pence finds him collapsing before the waterfall and realizes there's a mirror behind the water, explaining the doppelganger.

The Animated Bag
A moving bag on Sunset Hill, when Roxas approaches it, it springs to life. After hanging on until whatever is inside the bag tires out, Roxas opens the bag to reveal that it is merely a dog. However as Roxas and Pence talk about the dog, the dog walks away from their attention and reveals that it was a guised Nobody again and it slips away.

The Ghost Train Mystery
According to the rumors, at sunset each night, a train arrives at the station, with no one on it - and leading to nowhere. Roxas and his friends watch for the train from Sunset Hill, but Seifer intervenes and distracts them - ultimately, only Roxas pays attention as the empty train passes. He rushes to the station to investigate, but Hayner stops him. Roxas turns from the platform, and when he looks back the train is gone. His friends neither confirm or deny ever seeing the train themselves.

The "ghost train" is actually the train that leads to Yen Sid's tower. It is not able to be accessed, most likely because DiZ didn't create that part of the town.

The Lonely Girl
At first the group makes no mention of the seventh wonder, until Roxas asks about it on the way home. Pence reluctantly says the last wonder is connected to the Old Mansion. Roxas goes there, and according to Pence, the wonder says that a girl appears in the second story windows, even though the mansion is abandoned. This is the only one of the Seven Wonders where the screen does not fill with static, and Roxas actually does meet the girl. It turns out that the girl is none other than Naminé.

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 undermine the simulated Twilight Town, as Vivi and the dog disappeared as Dusks after the confrontation with Roxas.