Not an urban legend, but I swear if anyone can tell me the title/author of this short story, I will give them gold:
A group of hunters get lost in the woods when a blizzard hits them unexpectedly. They manage to stumble onto a cabin and settle down there for the night, but when they wake up in the morning, one of the four is dead, with no real idea what killed him. They put him outside but can't do much more because of the blizzard. The morning after, same thing happens, another guy's dead. One of the men decides to stay awake and watch, and in the middle of the night he sees a skeletal hand reach down from a bundle of rags on a shelf and hook a finger into the soft spot under his companion's skull, driving the nail into his brain. The surviving man immediately jumps up and sets the cabin on fire, then runs outside, and as the cabin burns down to ash, the blizzard stops.
I read this as a kid, probably a good 15+ years ago and it still freaks me out to this day. Probably no one will see this, but I always take the opportunity to try and find out what sadist wrote it.