If you can find a set of
Man, Myth, and Magic, a 24 volume encyclopedia full of batshit crazy, buy it. It covers strange belief systems, well known magical figures, folklore, monsters, bleeding nuns, voodoo, etc. Like an old school encyclopedia, it's composed of short essays and photos. So many gruesome photos. I love my set, bought for $24 from a half-price books decades ago.
More generally, you're probably just looking for folklore books. There are a ton of them. My best recommendation as a folklore junkie, go to Barnes & Noble in person. It's post-christmas, and if you walk the cheap sale book section, I suspect you would find very inexpensive folklore collections, as they're a staple, since they're all in the public domain. A couple of bucks can get you two hundred pages of folklore stories from a particular country, usually.
Amazon also has some cheap folklore books available, including a bunch of free public domain stuff from a variety places. I just glanced and saw English, Norse, Navaho, and Irish folklore available for free. And that was in the first few pages.
And, if you're interested in Appalachian folklore turned into some lovely stories, you can read Manly Wade Wellman's John stories for free, here:
http://www.library.beau.org/lib/ebooks/baen/03/John the Balladeer/index.htm