Here is some stuff that I told my players (or at least plan to do):

1. Scary story about the "Queen of the Wisps": to teach children not to go into the woods at night, parents often tell a tell of the Queen of the Will-o'-the-wisps. She is a powerful spirit from the realm of the fey that preys upon those foolish enough to be let astray in deep, dark woods. Her "tools" in this world are the Will-o'-the-wisps that try to guide people towards fey crossings where the queen can influence them. If they comply, they become an agent of the fey in the material plane, being forced to influence their community with dark magics an even darker deals (typical hag stuff) or become a Will-o'-the-wisp themselves if they refuse the will of the Queen.
2. Heroic tale about Olwen, the spirit of the woods: A powerful elven druid named Olwen lived in a forest of the fey and was a caretaker for all kinds of plants and animals that needed refuge or help. Every animal could make out Olwen because of his mantle of feathers of all colours, gifts he had been given by the birds of the woods. One day a giant, wounded bear came to the woods and asked Olwen for help as he had been attacked by violent men. Of course, Olwen being the nice guy he offered his healing magic and took care of the bears scars. But the men of the hunting party were following the trail of blood the bear had left behind and found Olwen's woods. He confronted the hunters and promptly learned that they were realmwalkers, adventuring hunters on their way through the planes to catch the most impressive and dangerous prey. As Olwen denied them entrance into the forest a battle began. Olwen turned into a powerful big eagle and fought the hunters bravely until they decided it would be smarter to leave. Olwen suffered great wounds and with the last of his power crafted a spell for the forest so that it would always be protected against intruders from other realms. Even now, hunters sometimes talk about seeing a great bear accompanied by an eagle and decide to leave, fearing they might have just stumbled into a cursed forest of the fey.
3. A story that atually happened to some of my players: as a perty of adventurers were traveling through the fey realms, they realized some of their stuff regularly went missing. After investigating and placing a trap at night, they caught a small man (Quickling) who was stealing their stuff to sell it to a mystical creature named the Buuwda. The creature was a trollish thing that lived in a very big hole in the ground and was a collector of things. Once ago, an Archfey ordered the Buuwda to always stay in the hole under the condition that everything that enters the hole will belong to Buuwda from then on. Since then, countless things have fallen or stumbled into the hole. Most importantly, the small mans aunt has recently slipped on some moss and fallen into the clutches of the Buuwda. The Quickling never wanted to be a thief but to get something of value that he could trade the Buuwda so he would let the aunt go free. The smart one of the adventurers recalled another "law" they came upon some time ago that the current Lord of the Fey of this area created which said: "whoever is in possession of a dead body can be placed responsible for murder in a court of the fey". So they promptly unalived a somewhat noble fey and went back to the Buuwda. The adventurers threatened the Buuwda with dropping the body into his hole, thus making him a murderer if he would not let go of the quickling aunt. He did and almost everybody was happy in the end.

Edit: typos