folklore : an often unsupported notion, story, or saying that is widely circulated — Webster
myth : a usually traditional story of ostensibly historical events that serves to unfold part of the world view of a people or explain a practice, belief, or natural phenomenon — Webster
legend : a story coming down from the past; especially : one popularly regarded as historical although not verifiable — Webster
Encyclopedia Mythica is a famous encyclopedia with over 6,000 entries about mythology and folklore from around the world. Includes definitions and images of many heroes, legendary creatures, gods and goddesses, and related news articles.
Folklore Bookshelf (Project Gutenberg), Folklore Portal (Wikipedia)
Mythology & Folklore (Yahoo Answers), Mythology (Infoplease),
Snopes: Urban legends, folklore, myths, rumors, and misinformation, Lost Legends (Snopes), Old Wives’ Tales (Snopes)
Here are links to pages about closely related subjects.
Entertainment Humor, Toy, Hobby, Competition (Game, Sport), Spectacle
Arts Performing, Visual (Architecture), Culinary, Language (Poem), Music, Dance
Belief Hypothesis, Forecast, Rumor, Superstition, Folklore, Faith