These stories didn't happen with me, but with my family. I want to start explaining how was the place where my father grew up in the 60's and 70's. It was a very small rural city called Jaboti, in the countryside of the estate of Paraná in Brazil.
In the early 60's my grandfather came to this almost untouched place where he started to build his house. Up to this day this very little farm belongs to my family. My father was the second oldest son out of four. When he was seven years old my grandfather passed in a car accident. A few years after that, my grandmother married again, with a man that already had four kids from his first wedding. His first wife also had died.
When this happened, my father (that I'll call 'H') was about 14, his brother ('J') was 16, and the oldest son of his stepfather ('Z') also was 16. They went to school at night after working at the fields during the day. It was a 3 kilometer walk from home to school.
One night when they were coming back home, in total darkness, they started hearing a horse walking behind them. They could hear his horseshoes hitting the rocks on the road and the sounds of little bells and other metal ornaments people used to put on their horses.
It's not unusual to hear a horse in the middle of a city surrounded of farms, but they started to think it was strange the horse not catching up with them. By the pace of the horse steps it should have passed by.
They stopped by the road thinking it might be their stepfather. The sound of the horse kept coming until it was very close and then suddenly... Just silence. No horse. After a few minutes they decided they should head home. As soon as they started walking, the sound came back. Again, no horse. They started to run. As they ran, so did the horse after them and the noise kept increasing.
When they got to the gate of their farm the noise stopped. It was a very big wooden gate, almost 2 meters high. 'J' decided to go home, it was another 300 meters ahead. When he was almost halfway there, 'H' gave up waiting and went home too. 'Z' said he would wait, he was sure it was his father, and would open the gate for him.
He saw from some distance the outline of the horseman, the light from the stars shining on him, he was coming to the gate. What he described next was a big horse, huge, way bigger than the gate, and on the horse a man wearing a hat. The scariest was the fact that he could see through the horse and its rider. Terrified he froze staring at that thing, the rider made a noise and the horse moved towards the gate, making it creak.
At this moment he started to run towards the house and screamed "RUN!" 'H' turned around to see what was going on, just in time to see the rider fade out. When he turned to run, 'Z' had already passed by him. When 'H' and 'J' got home, he was already there, all white on the ground, absolutely terrified. He could not believe what he just saw.