Coleman, Loren, Mysterious America (Faber and Faber, 1983)
Let me begin, in all seriousness, by noting that if you haven't read Norman Cohn's Europe's Inner Demons and The Pursuit of the Millennium, you are essentially unarmed in any serious discussion of Western cultural or intellectual history. That said, here's a book about Mothman. And the Jersey Devil. And phantom clowns. And why there are so many more Fortean sightings in places named after the Devil (i.e., Devil's Lake, Wisconsin, where mollpeartree and I once spent a rainy weekend camping, but didn't encounter any phantom bears) or fairies (i.e., UFO sightings in Fayette County, PA, Lafayette Hill, PA, Fayetteville, GA, and Fayette, IN). And all of it squarely grounded in the good old U.S. of A., which swells my pineal gland with patriotic ectoplasm. Think of it as an initial survey of American genii loci, the Wonders of the New World, to tweak Cotton Mather a bit. (There's a whole chapter on "Things That Go Bump in the Bay State.") Coleman's writing is by turns whimsical, bemused, and campfire-tale scary. His research is pretty good, but he's only human -- he repeats "fakelore" like the Mad Gasser of Mattoon uncritically. Of course, I'm not sure why it matters, since it's not like there are actually pleisosaurs in Lake Champlain, either, but somehow it does. Still, the sheer weight, and undeniable style, of the material is more than enough to get anyone started connecting dots that don't exist to draw monsters, likewise, across the map of America.
(In 2001, Paraview Press published a revised and expanded edition of this book, which I don't own. It's probably good, too.)
Honorable Mentions: Collins, Andrew, From the Ashes of Angels: The Forbidden Legacy of a Fallen Race; Corliss, William R., The Sourcebook Project (series; I currently only own Ancient Man: A Handbook of Puzzling Artifacts, Biological Anomalies: Humans III: A Catalog of Biological Anomalies, and Mysterious Universe: A Handbook of Astronomical Anomalies.)