A very interesting book on this topic is "American Exorcism" by Michael Cuneo. I recommend it. Dr Cuneo is a professor of sociology of religion at Fordham University, and was present at more than 4 dozen exorcisms, "deliverances", and similar.
On the question of the reality of demons and other supernatural entities (angels, ghosts,jinns, poltergeist, fairies, brownies, etc) I find there is quite a lot of anecdotal evidence, but none of it is very convincing. For instance, there are numerous accounts of fairies, and in the regions of Celtic habitation it would be fair to say that before WWII a belief in these was quite general. In books such as Evans-Wentz's "The Fairy-Faith in Celtic Countries" and Sir John Rhys's "Celtic Folklore- Welsh and Manx" dozens of accounts are narrated. More modern accounts can be found in "The Good People", Peter Narvaez, ed.
Whether the worldwide belief in these sorts of things reflect a reality, or some sort of psychological/sociological phenomenon, is for each to decide for himself. I will say, that considering the supposedly pervasive activity of demons, fairies jinns, etc-- it is surprisingly hard for a neutral observer to get a glimpse of one. The psychic research lab a Duke University was busily engaged for 50 years in this quest, and came up basically empty.
Go figure.