It has happened and it does happen. However, just because an unseen voice tells you that they are Jesus, doesn't necessarily mean that Jesus has talked with you. This experience can be dramatic but it can also be completely false. So those that seek contact with this world need to be careful but most of all, they need to have a strong ability to be logical.
There are those also, who do desire communication so badly that they allow their strong desire to overcome their ability to think clearly. Those who have alcohol or drug issues or psychological issues should never attempt divination or communication of any kind other than prayer.
Good luck in your journey-
J.S. Thompson