La Llorona

Several centuries ago, a poor young woman was wooed by a Spanish conquistador. They were together for several years and had two sons, but he refused to marry her. Finally, he announced that he was going back to Spain, where he would marry a rich heiress... and he was taking the children. When his mistress began to cry, he laughed and asked her if she really thought he wanted to be tied to a poor woman.

The woman was distraught. In a rage, she took her two sons to the lake and drowned them. When she realized what she had done, she killed herself. She went to the gates of heaven, but St. Peter told her she could not enter unless she recovered the souls of her two sons from the river.

So now she wanders by the banks of the river where she committed her crime, wailing and weeping, searching for her children. But she's been searching for so long, and is so desparate, that any child will do- that's why no children go to the river after dark, because if they do La Llorona will pull them in, and they will be hers forever.