The coolest one here in Ky is the legend of Eagle Creek Road.  This much a recorded fact:  In the 1950's (57 I think) there was a cop who pulled over a teenager on suspscion of DUI.  It turns out he wasn't.  He was just out past his curfew and had never driven that particual narrow stretch of road.  The cop was warning him about the drunks that frequent the road and a drunk came along and clipped him off the side of the kid's car.  The cop was dead on arrival.  That much is a fact.  The legend states that if you drive along that road at midnight, with out of town plates, driving slowly or even fairly erratically you will be pulled over by a cop in a mid 50's style cruiser.  He'll warn you to be careful, get back in his car, turn off all his lights, and vanish.  He won't even leave tire tracks in the dirt.  The cop who pulled you over will be the same one who died.

Another good one is the legend of Annabell.  This one is kind of weird because I may have seen proof.  It's a long story and those who don't believe in ghosts are going to think it's insane so I won't go into it.  Most of Ky was dominated by large farms both livestock and vegetable.  One such farm had a little girl who lived there named Annabell.  Her father was, as legend goes, a very abusive petophile with no qualms about incest.  One night after a particularly violent session he discovered that he had murdred Annabell.  He torched the house to cover his tracks.  Even with the poor science and doctors of the time there were still suspicions about her death.  The doctors believed that she was dead before the fire began but they couldn't find any concrete evidence to prove it.  Because of this her father was never brought to justice.  Now her restless spirit hangs around the area where she lived.

That one is rooted in historical fact.  Annabell was a little girl who lived on a large horse farm in that area of Ky in the 1800's.  She did die in a fire.  She was the only one who died in that fire.  And the doctors did believe that she was dead before the fire "killed" her.

The Headley\Whitman house is also rumored to be haunted.  At night you're supposed to be able to hear carriges and cars and stuff pulling up the gravel driveway.  Doors open, floors creak, and other odd "paranormal" things occur.  There's a website somewhere that has the bulk of the hauntings and other related stuff in Kentucky.  Just google the term "Haunted Kentucky".