La Llorona

As a child, my grandmother would tell me Mexican folk tales which were terrifying.  I realize now that many of them were meant to teach a lesson, but as a kid, all that you remember at night are the witches, devils, and horse faced women.  Probably the most famous of all is the story of La Llorona, or Weeping Woman. You were told if you disobeyed or were out too late, that the Weeping Woman would kidnap you.  

There are a few variations to this story, but essentially it's about a beautiful woman who gets married and has children. Her husband goes on to leave her for another woman.  In a fit of anger, she drowns her children which she greatly regrets and kills herself.  Her wailing spirit is said to roam near water looking for her  children.