This is very good, Dr Gears. Excellent. I'm not going to sleep tonight.
However, since you asked for critique:
I don't like the way the second paragraph ends…"deaths call" seems awkwardly worded to me. Also, the use of "I've always wanted" followed by it's immediate retraction sounds weird. I'm thinking it should be "I had always wished for some kind of…excitement…in life, and now that I have it, I'd give anything I have to make it go away."
Some grammatical revisions:
He was short, slightly overweight, had with a nervous laugh, and slowly advancing (receding?) baldness a slowly receding hairline".
My first question was about his arm, but he passed it off as nothing, saying that he just had a accident. After With a little prodding, I got him was able to get him to tell me what had happened.
The following section:
Paul said he'd been sleeping badly. Always prone to fits of insomnia, he said that lately it had been worse. He'd wake up from strange dreams, panting, and find the bed soaked with sweat. He said he also had the weird feeling that someone had been in the room just moments ago. By the time he'd gone and checked all the doors and windows, he couldn't get to sleep again. He'd laughed then, saying the joke would be on the thief, that he'd probably end up losing money anyway.
I laughed too. Paul could be funny, and smart, and almost charming at times, but it always got buried in a big, smothering wave of gray blandness. He didn't seem bland then. He looked…nervous. He blinked, looking around, then leaned in a bit. He smiled nervously, and said what had happened was rather embarrassing. In the middle of the night, he'd woken up from a horrible dream, and found himself unable to move. He said it was like a weight on his chest, pinning him down. He'd also seen something across the room. He paused, seeming to decide whether or not to go on, then sighed and shook his head. He said that there was a thing standing in the doorway to the hall. He said it looked like it had a cloak, but it seemed to move like it was alive, and it's head was like a insect, long and narrow, with a cluster of eyes on each side.
…I would revise, somehow. I could actually do it for you, but only if you'd like me too. The content, as far as getting the idea across, is fine, but the way in which it is worded is awkward, IMHO. I would take out the metaphor in the second paragraph (the wave of blandness) and just say that he is bland—but he didn't seem bland just then. And the last 4 or 5 sentences are kind of choppy, and I get a little confused with the tenses. Don't change the LAST sentence much, though, I like it.
I looked at him, dumbfounded. Here was a man whose greatest imaginative moment was suggesting a blue background on the monthly expense pie chart instead of white. He must have seen my shock…
After the word "white", you should add a sentence contrasting the previous idea. "here was a man blah blah blah, and yet / and out of nowhere/ he blah blah blah. Without the contrast, it comes across as half of a thought.
What Paul had said was so…weird, so out of character, that I just wasn't able to process it. So, I didn't. Have I not said that Paul was insanely easy to forget?
I would change it to "Like I said". Asking a question here doesn't fit with the tone of the story, and makes it seem like it's being directly told to a person rather than narrated. This effect is only present here, so I am assuming you weren't trying to go with it, but if you were, then never mind.
I'm wandering. It's enough to say that, when Paul came up behind me and said hi, I nearly screamed.
I don't understand what you mean here by "wandering". And, I feel that there should be quotation marks around "hi", and also that it should be "hello".
I don't know what happened to him. I've read about insect physiology, and watched science fiction, but I still will not cannot even attempt to explain. Paul is dead. However, I don't think that means as much as it should.
This sounds better to me, but of course it's ultimately up to you.
Last night, I woke in the dark, groggy and feeling drugged. I looked to my window, and saw a shape there for a few seconds. It moved away, but I saw it. Narrow head. Wide black eyes.
But it still has Paul's face.
Just a couple of tweaks needed here. The first sentence sounds weird, but I can't think of right now how best to fix it. You should use an adverb on "moved away" (quickly, swiftly, to your preference). And, just so you know, your use of sentence fragments here is excellent.
For the last line, I think it's in the wrong tense. Should be "had".
Otherwise, this is very well written. You certainly scared the crap out of me. You're an excellent writer, certainly better than I am when it comes to creating and explaining ideas, and I am looking forward to reading the rest of your short stories.