Rockstar games and Red Dead Redemption in particular are pretty good for legends, like the infamous Sasquatch from GTA: San Andreas that finally made an appearance in Undead Nightmare.
One of my favourite legends that I encountered in Red Dead Redemption is the "Tumbleweed Ghost".
In the game, Tumbleweed is a ghost town that is also a gang hideout, having been infiltrated by a gang of criminals who are taking advantage of the fact that people think it's haunted and stay away. In the game there are also several references to it being haunted, like a newspaper article, but I think you're suppose to think it's a Scooby Doo type haunting cause by criminals, not supernatural forces.
However, there have been several rumours about Tumbleweed actually being haunted, or inhabited by something other than the criminal gang, which I think are just glitches in the game that people are wrongly attributing to ghosts due to the creepy setting and the coincidence of the in-game ghost town myth.
I've actually experienced some creepy ghost like occurrences in Tumbleweed, which I think are glitches in the game, but which can easily be construed as ghosts and hauntings.
After I'd cleared the gang hideout I returned to the town a few days later following up on a unrelated challenge and as I was exploring the basement of the mansion I heard some voices, but couldn't see anyone.
This freaked me out at first, especially as I kept bumping into and talking to invisible people as I ran around the empty basement, then as I started firing my gun around the place in an attempt to hit the invisible people, the voices became more irate and threatening.
Even though it was very spooky and did seem like ghosts, I think it was just the 3 enemies from that gang hideout who are usually in the basement, who had "half-spawned" as the gang hideout was reset and repopulated, but who wouldn't fully materialise and interact with you until you'd set off their trigger, that being entering the town from the front and killing all the criminals in the town first.
I'm not even sure if you're suppose to be able to enter the mansion before clearing the town (the front door is locked), but because I was doing an unrelated challenge which unlocked the basement, I was able experience the glitch of invisible enemies, which seemed a lot like ghosts until I started thinking about it logically.
Funnily enough, I revisited Tumbleweed in Undead Nightmare to see whether it was more or less haunted or if there were any Easter Eggs, but apart from being full of zombies the town actually seemed less haunted than before.
