La Llorona is an ancient story that dates back to before the fall of the Aztec empire. It's the story of a widow who had 3 children and fell in love with a man who was better off than her. She thought he would provide a better life for her and her kids, but he didn't want to be tied down to a woman with another man's offspring, as the story goes. She was driven to despair, and took her children and drowned them in a river often said to be the Rio Grande between Texas and Mexico. Instantly afterward she realized what she had done and started screaming searching for her children. When the village found out what she had done (the interpretations vary on the exact details here) most legends say they sentenced her to the same fate and threw her into the river as well.
To this day she is locked in an eternal search for her drowned children. She is often spotted along rivers, waterways, and and drainage ditches, and is said to drag children to their deaths in the waters. She is said to let out a blood curdling cry and is almost always wailing
"¡O hijos mios!" (Oh my children).
Sightings of her almost always mean you are marked for death.