There was a guy in the news recently who thought he'd caught a Chupacabra.
http://www.outdoorlife.com/blogs/newshound/2014/04/texas-man-claims-have-caught-live-chupacabra
It turned out to be a mangy raccoon. Then there are things like psychics who turn out to be frauds using cold reading and parlour tricks to fool people.
Sometimes a phenomenon is exaggerated or misreported. There's the story of Overtoun Bridge in Scotland where supposedly numerous dogs intentionally leapt to their deaths which people believed was for various supernatural reasons (eg. the bridge was haunted). http://www.slightlywarped.com/crapfactory/awesomemysteries/dog_suicide_bridge.htm
Brian Dunning of Skeptoid.com debunked that one pretty thoroughly. Firstly, though news reports gave numbers like 60 dogs there were only two confirmed reports. Secondly, because of the shape of the bridge, the height of the walls and the fact that it's made of stone a dog walking across it wouldn't be able to see the water and probably wouldn't even know it was on a bridge, but rather would think it was jumping over a wall into a field like the ones surrounding it. Thirdly, at the end of the bridge where the dogs jumped there were small animals like mice nesting, which the dogs would have been able to smell. There was more, but basically what it all added up to was just that a couple of curious dogs tried to investigate an interesting smell and ended up in the water. No supernatural explanation needed.