The PhantomA girl ('Gotcha' girl) (unnamed; credited as 幼女 "little girl" in the official Layer 04 cast, with an adult voice by Miki Itō (伊藤美紀) and a child voice by Haruka Tokoizumi (常泉遥佳))
A small girl carrying a stuffed animal who, in Layer 04, seems to chase a frightened high school senior through his apartment building at night. When she catches him she says 'Gotcha' in an oddly adult voice. He is a player of PhantomA, a popular online game, and the chase is a version of the children's game of tag bleeding into his perception of the game. Later in the episode she bumps into Alice in Shibuya and drops her toy, now sounding like an ordinary child. Ueda explained at Otakon 2000 that she is a normal girl: the chase and the 'gotcha' happen in the man's head, showing the barrier between the net and the real world breaking down, with fear used to make that visible.
More (spoilers)
The man, convinced she is a game monster, shoots her with what he believes is an in-game weapon, killing a real child. The episode connects PhantomA to KIDS, a project to harvest children's latent psychic power, which later lets Lain's face appear across the sky. In Layer 06 Lain learns that Professor Hodgeson's original KIDS research had been revived through such games, and she condemns him for it.
Sources: lawmune.net · lain.wiki · lain.wiki