Some interesting Spanish ones:
Caganer:
http://en.wikipedia.org/wiki/CaganerBasically a figure of a guy shitting that is put in Nativity scenes accross Catalonia. I love this one.
Lovers of Teruel:
http://en.wikipedia.org/wiki/Lovers_of_TeruelLove story, both rich and in love since childhood, guy's family becomes poor, father forbids the wedding, guy says he will ask again in 5 years when he is even richer, returns 5 years and 1 day afterwards, she just got married, he dies, she dies, end of story.
A couple of local ones:
The Puig Campana hole:
http://en.wikipedia.org/wiki/Puig_CampanaNear Benidorm, there is Puig Campana, a mountain with a hole near the top. There is also an island in the bay nearby. So there are stories linking them. Some versions say it is Roland fighting the moors that split it, some others that it was some Saint's horse that kicked it.
The face of the Moor:
A face that can be seen in this mountain in Alicante, there is a legend about the tragic love story between the daughter of a Moorish lord and a Christian peasant. This one was imprisoned and executed, and it is said that resulted in the astonished face of the lord set in stone when his daughter threw herself down the cliff.