I'm not talking about Santa Claus/religion, etc lol: more along the lines of things your family or friends told you as a child, and that you believed for some odd reason.
When I was little I'd go to my grandma's for many weeks each summer. I was extremely shy as a 5 year old, and I never liked going to this particular grandma's at that age because she'd invite her old friends over to marvel at my conception. Well one day before going over there my uncle told me not to give grandma any trouble because she had a black belt in karate, and would take me out if I acted up. For some reason I believed that for years

Hell, last year I made sure to tell my smallest cousin (he's around 4) this story, and he now believes my grandma will roundhouse kick him if he runs around the house too much