One dark and bone-chilling folklore story that is not widely known but fits perfectly into the eerie atmosphere of Halloween or fall festivals is the tale of the Banshee of the Hollow from Irish folklore. Though the Banshee is a somewhat familiar figure, this specific tale, tied to the autumn season and the thinning veil between life and death, is not as widely recognized.
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First time I heard of a Banshee was in this film (which costarred a young Sean Connery):