No personal experience and, lapsed or no, the Catholic in me is thankful for that. Hostage to the Devil by Malachi Martin is, IMHO, absolute garbage, but he spins a credible enough story that it's good research, at least if you're going for the traditional, Churchy perspective. Also, he was on Coast to Coast a lot and (let me be clear that I think he's a liar) he has an interesting perspective and some of what he says freaks me the blank out.
Can't think of many books, two movies I liked were 'Exorcism of Emily Rose', which wasn't the best horror movie ever but got into some interesting ethical questions. Also, 'The Possession of David O'Reilly, a UK movie that is about the scariest thing I've ever seen on film. Another UK mini-series called 'Apparitions' was pretty good, very well researched and surprisingly even-handed. Also, if you're looking for a show about demons, there's this very scary horror series called Keeping Up with the Kardashians. Terrifying, and I thank God that it's just make-believe.
If you're going outside the catholic tradition, well, then we're usually talking spirits and not demons, every culture deals with it differently but everyone agrees possession happens.
Also, vis-a-vis demons, they really scare me. Like, hard, and I'm not that easily rattled (or that invested in believing in them). Let me share a weird story: Once when I was a kid, I started having sleep paralysis. So, kinda sleeping, kinda awake. People who have been through it know what I mean. A houseplant next to my head comes alive, and starts turning into tentacles with mouths. So, this thing starts talking and admits that it's a demon. But the odd part is that it was whining, kinda this bitchy, whiny, unhappy voice. And it tells me that people don't understand how hard it is being a demon, and how their whole existence is inverted. I'll never forget it's exact words, "You don't understand how it feels to have everything about you be wrong". Sympathy for the devil, or just plain 'ol night terrors? Who knows, but I always remember that when I think of demons.