Start up a conversation with longstanding residents. Head to local bars and coffee shops away from the tourist traps to find the people who know the area best.
Troll through travel guides and other printed resources that pertain specifically to the area you travel. The best of these will likely include anecdotes that speak to the unique nature of the locale. Follow up on these stories by asking the locals about their veracity.
Conduct an Internet search to possibly find additional info on your desired local legend. Web pages such as Snopes.com and UrbanLegendsOnline.com sport regularly updated databases on folk tales that are associated with a particular location. Again, verify the information you find online by consulting locals.