possessions are rare because you need to let down all defenses, and your body always has one or two permanently in place to prevent such things. if you willingly as Tiredofgaggs said it's an invocation, which is a spiritual thing and can leave you drained and it's not for beginners.
most possessions though can be chalked up to a few things, mental illness being the most common, a type of placebo effect, you hear about something enough you'll start to believe it, or seeking attention much like the girls of Salem in 1692.
the things you see in movies are rarely factual, and things like possessions are there to scare people. it can be done, but very very rare. like i said, all their defenses would have to be down, and the being would probably still have to be invited in.