Diana of the Dunes
Ok, this story is less spooky and more odd, to say the least. In 1916, numerous fishermen from Lake Michigan started to report seeing a naked woman in the water. Unlike other fishermen stories, the police investigated the sightings and discovered the very much alive Diana. Diana lived alone in a reclusive hut near the lake, and enjoyed bathing naked in the water.
Years later, she married a man who became a murder suspect, and died under strange circumstances. To this day reports of a naked woman who bathes in the lake are coming into the nearby police station, keeping the lore of lonely Diana alive.