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First I check to make sure that it wasn't me falling out of bed.

Then I grab my smartphone and turn on the flashlight to point in the direction of the sound.  

There's a door to a garden near my room so I often get little bugs coming inside from underneath that door to see what's going on.

I have roommates, so I'm used to hearing them at night, but when they're out of town it just depends on how comfortable I am in bed :-P

The first thing i will do is to stand up from the bed to see what fell,i live alone and most of my neighbours are usually at work  at that moment so i will be surprised to hear sound of things falling down,,if what fell down is something that is dangerous and i cannot handle by myself then i will call the police and explain the situation to them,but if it is something that is not harmful or dangerous then i can handle it by myself...