Gittin 68 says that Shlomo Hamelech was cast away by Ashmedai, the king of sheidim (demons). So I want to bring some opinions about what sheidim are.
Ramban to Vayikra 17:7 (tha pasuk says "do not sacrifice to seirim, which Onkelos translates as sheidim) says that people are made up of all four elements - fire, water, earth and air, but sheidim consist of only fire and air, and therefore cannot be perceived by the senses. They can fly because they consist of only light elements. They know what will happen because they hear things when they fly (near the heavens).
Rav Ahron zt"l said that sheidim are germs, a disruptive force that cannot be seen. When the Gemara (Gittin 66a) says sheidim have shadows it means hallucinations can be lifelike (sheidim are also psychological).