Here's a story that Dad told nearly every time we were driving home from a visit to Haltwhistle when we were kids. This is the start of an early printed version (The Local Historian's Table Book of Remarkable Occurences, Historical Facts, Traditions....etc etc, 1846) I happened across at Google Books
"It was at the gray of the evening twilight, about half a century ago, that a stripling held his way towards the castle of Bellister, with the view of entering into service there. Having crossed the Tyne at Haltwhistle, he found the darkness increasing fast ; and although the distance he had to travel was not great, yet in those days, bad companions were more common than welcome on the unfrequented roads after nightfall. Leaving the Ferry, he passed a thicket of willow bushes, and then his route lay along a broken road, which he had been directed to follow, as that which would conduct him to the castle."....
Read the rest of the story here
And there's a more up-to-date version here (also the source of the moody picture)
Fast forward to the early years of the 20th Century when Granda could have been no more than a teenager. He and some friends decided that they would do a bit of ghost hunting and lie in wait for the Grey Man. They took fright at what was probably just a piece of paper blowing in the wind and hot-footed it across the bridge back into Haltwhistle, terrified out of their wits. When they got there they met with one of their original number who'd got there before them....and Sammy Teasedale was soaking wet. Apparently he'd been so scared he'd not bothered with the bridge and had 'gone streyt ower the watter'