ahmmm, I haven't have any idea as of now, but I can recommend a site with urban legends and related items: http://www.scaryforkids.com/
here, that's a great site. ^_^
The only one like that that I can think of is the more usual "there was once a really bad criminal and now he's escaped the prison and is coming for your/your brother/your dog/etc." I used to live in a town with a pretty scary prison nearby, haha!