Now you see me...

[Gollum]

Originally Posted by Lameth

Anyone else?

One way to do it may be the advantage "Ghostly movement", in GURPS Horror, page 20. It is built from Warp, Basic Set, page 97, and is used to described psycho killer's ability to suddenly disappear when you don't look a them. "In every slaher movie, there's a moment when the camera looks away - and the killer is gone ! He slipped into the closet, or the air vent, or the shed, seemingly without ever opening the door."

Here are the precise advantage as it is built in horror:
Ghostly Movement: Warp (Accessibility, Only if Unobserved, -20%; Acessibility, Only places you could walk/climb to, given time, -20%; Extra Carrying Capacity, Medium, +20%; Range Limit, -50%) [30].

It may not perfectly work but, in my humble opinion, you can easily built another limited Warp advantage that fit better to what you want thanks to this this model.