My personal favorite lore is from the old Frontier Town Carousel at Cedar Point, which now resides at Dorney Park. (And let me say, what a damn good carousel it is!)
On this carousel there was a Military Horse, absolutely gorgeous design by Daniel Muller depicting a Civil War era horse: black in color, with a military saddle holstering a revolver and sword. I remember growing up with this Carousel at CP, and regularly scrambling to try to land a seat on this horse.
Legend has it that the carousel would mysteriously begin to run at night, with a ghost woman seen riding the Military Horse. Some say that the ghost woman is the spirit of Muller's wife, who became obsessed with the horse in life. Others say that Muller murdered his wife, burying her remains inside the horse, and hid the murder weapons on the horse itself, hence the depiction of the revolver and sword.
Cedar Point has played on this legend in the past, even setting up a sideshow during Halloweekends with the real Military Horse on display, which occasionally would have the image of an old woman riding superposed onto it.
Ultimately the carousel was moved to Dorney Park when Cedar Fair bought the park. The part of the carousel that was not shipped was the Military Horse, which remains on display in the Town Hall Museum in Frontier Town. There is also a fiberglass replica at the Merry-Go-Round Museum in Sandusky.
Daniel Muller also designed the famous Armored Horse, which formerly was used on the Kiddie Kingdom Carousel. This horse was used for as a U.S. postage stamp image in 1988. It has since been replaced with a fiberglass replica, and is also on display in the Town Hall Museum. Not haunted, but definitely another gorgeous creation.