La Llorona is the legend of a woman who has lost her children and who can be heard (and sometimes seen) weeping in the night. La Llorona (the name means “She who weeps” in Spanish) is in most stories said to be Mexican, although sometimes she is a woman who lived in the American Southwest. As with most urban legends, there are many variations of La Llorona, but the central plot remains intact: The woman has lost her children, usually because she herself has killed them because she wants to marry a man who doesn’t want any children. She is so anguished over the depressing circumstances that she kills herself as well and is thus doomed forever to roam her native land, weeping and wringing her hands.

“Sightings abound throughout the Southwest. Supposedly she drowned her children in the acequia (irrigation ditch,) and now she roams the ditches looking for her (or any) children. Usually the story is told with the intentions of keeping kiddies away from the ditches so they won’t drown.”
"The Encyclopedia of Ghosts and Spirits" by Rosemary Guiley tells a more traditional Mexican version, which occurs in Mexico City around 1550. According to legend, an indian princess fell in love with a Mexican nobleman. The nobleman promised to marry her, but betrayed her and married someone else instead. The ultimate result of this bit of treachery is that the princess murdered her children in a fit of rage, with a knife given to her by the nobleman. Afterwards, she wandered the streets crying for her children, and was eventually hanged for her sins. Since then her ghost has been searching for children.
Another interesting feature of the La Llorona legend is that it appears to have merged with the Vanishing Hitchhiker legend. La Llorona is reported by some to hitch a ride on a road near to the place where she drowned her children.