Woman in White -- The pilot episode lead the boys to a mysterious lady in white. The ghost of a dead woman walks at night and terrorizes unfaithful men who pick her up. She claims she wants to go home, but when she gets there she can't. The origin of this lore, traces to La Llorona. Also called the Weeping Woman, she drowns her children after learning her husband left her for another woman. There are many variations of the lore.
The Wendigo -- Episode #2 saw them take on the Wendigo myth. The Wendigo lore has origin in Native American mythology. It's a creature with a heart of ice with the appetite for human flesh. Anyone who consumes flesh, would then become one himself, and be tortured with the need of human flesh. The Wendigo is sometimes thought to look something like a werewolf.
Bloody Mary -- The fifth episode dealt with the tale of Bloody Mary. The origin of Bloody Mary comes from a children's game in which a ghost (or witch) appears in a mirror when summoned, which is done by repeating her name three times in front of a mirror. Again, there are several variants of the tale. Some, a summoner may say "Bloody Mary, I killed your kid," in which this version is the ghost of a mother who murdered her own kids. The show has it as the spirit of a Mary Worthington who goes after those with secrets which involve death.
Shapeshifter -- Episode #6 ['Skin'] had the boys dealing with a being that can turn into anyone (male or female). A shapeshifter, just as the name suggests, can "shift" into any form ("shape") it wants to. In this episode, it was done by tearing off the skin to be replaced by new skin (shedding).
The Hook Man -- Episode #7 dealt with the urban legend of the hook man, who terrorizes lover's lane. I tried doing a search for the legend and came across many of similarities to what was in the show. The Hook, for one, is of a man who has a hook for a hand and a couple making out in a car. However, it says the hook is left dangling on the door handle and they were listening to the radio which announced an escaped convict. It was even mentioned in a Dear Abby column (Nov 8, 1960), as well. Another legend that was referred to on the show in this episode was Aren't You Glad I Didn't Turn off the Lights legend, where a college student returns to her dorm to discover her roomate dead. On the show, the legend of the hook man is the spirit of a priest which manifests when (usually a priest, but in the case, the daughter of a priest) someone is taught to be good and moral and sees that immoral people should be punished (so kind of like subconciously calling up the hook man to do the punishing). Therefore, the known urban legend, not the same as in the show.
Poltergeists -- Episode #9 ['Home'] dealt with the boys returning back to their childhood home. The new owner and her two kids witness strange things going on. They seek a psychic named Missouri and she mentions there is an evil poltergeist (which is cancelled out by their mother's spirit). There was also a mentioning of one in episode #4 ['Phantom Traveler']. A poltergeist, in short words, is a ghost that can move objects. Some disturbances include shaking of beds, footsteps, and thumps.
Premonition -- Episode #9 ['Home'] was when Sam admitted to his brother about how he dreamt of his girlfriends death before it happened, and then dreamt of a stranger in their old house in trouble. In episode #14 ['Nightmare'] he dreamt of people being killed, but not seeing a killer (because the killer was telekinetic, see below)]. A premonition is knowing future events. In this case, it comes in the form of dreaming, but can also be visions seen while awake.
Reaper -- Episode #11 ['Faith'] dealt with a supposed faith healer, who was blind. Believers who were ill went to him where he'll "heal" their sickness. What they, nor he, knew was the life of someone else was being exchanged so they could live on, as a reaper was being controlled. The healer's (I want to say wife) basically built a shrine and got a hold of a reaper to which can take someone elses life. A reaper is a personification of death (usually known as wearing a black robe and carrying a scythe. Seen as being(s) which take the souls of those that die.
Telekinesis -- Episode #14 ['Nightmare'], Sam sees people being killed and him and his brother find out it is done by a boy with telekinesis. Telekniesis is moving objects without actually moving them, physically. Meaning, objects are moved with the mind. Toward the end of the episode, Sam also ended up moving a heavy object with his mind.
Shtriga -- Episode #18 ['Something Wicked], dealt with a witch that sucks the life force out of children as they sleep. This witch is called a Shtriga. It's an Albanian folklore in which only they can cure the child, otherwise they become ill and eventually die.
Vampires -- Episode #20 ['Dead Man's Blood'] and Episode 25 (2-3) ['Bloodlust'], finally, the boys take a shot at the most popular myth of all; Vampires. Generally, vampires are re-anmiated corpses that need to drink blood in order to survive. They can't walk in daylight, and are repelled by religious relics, garlic, and can be killed by a wooden stake in the heart, decapitation, or fire. However, there are many, many different legends on the folklore, in many different cultures around the world. In the show, decapitation is the only way to kill them, and they can walk in sunlight, it just bothers them. The third episode of the second season showed another side, the ones that feed on livestock instead of taking human life.