Not exactly an urban legend but this is the best that I've got. Back when I was in elementary school there was an ominous looking abandoned shed on a large hill not far from our playground. Rumor had it among the other kids that some time ago a staff member from the school (I think it was a janitor in the story) took a group of kids up there and murdered them.

Obviously there were no actual murder cases or any evidence to back any of this up. Some kid saw the scary house on the hill and made up a story to scare everyone I imagine.

Still though, it spooked the hell out of me when I was like 10. They said that the souls of the children became lost in the trees so when the wind would howl on cold days I would imagine that the spirits were calling to me.