No film this successful can escape from a few urban legends here and there, and The Wizard of Oz is no exception. The most famous (or ghoulish) states that one of the Munchkin performers committed suicide during the production, and that his hanging body can be seen on the film if you look closely enough. 

As you may suspect, this is pure poppycock. The scene in question takes place at the very end of the Tin Woodsman's introduction, as the trio dances down the road towards the Emerald City. If you check, you can see that it's clearly some kind of large bird, not a hanged Munchkin. This comes on top of the fact that 1) the Munchkin scenes hadn't even been filmed yet and 2) there were literally dozens of people on set at the time, looking right at the spot where said body was supposed to be hanging. You'd think somebody would have called for an ambulance or something. Pardon us for calling shenanigans on this one.
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A less gruesome though equally preposterous legend concerns the Pink Floyd album Dark Side of the Moon. Supposedly, if you sync the album up to the movie, the song lyrics match the action. There's definitely some synchronicity there if you squint hard enough, but as with the Munchkin suicide theory, it runs up against some cold hard facts. For one thing, the album runs 43 minutes and the movie checks in at over 100. (Behold the power of math to debunk the ridiculous!)

Furthermore, the band itself denies any connection to The Wizard of Oz, and while they might have been able to sync the movie up when they were recording the album back in 1973, it would have been really impractical. There were no VCRs back then, which means they would need to pick up a projector and find a copy of a film that had been out of circulation for decades. It gets the stoners excited, but we're pretty sure the notion is a lot of bunk. (And yet again proves why you should just say no to drugs.)

You can put it to the test over on YouTube if you want. We've had a look and we're definitely not buying it. (Source)

One thing we know is NOT just an urban legend: the effect this movie has had on members of the LGBT community. There's a certain campiness to all those outlandish sets and costumes, and the kitsch factor tend to draw the attention of LGBT individuals who see it as a quiet act of subversion against a culture that often wants them to just go away. They also identify very closely with Dorothy, and by extension with Judy Garland, who had a very difficult life and died well before her time.

In solidarity with her and it resolute defiance of wicked witches of all varieties, members of the LGBT community, particularly those still in the closet, sometimes referred to themselves as "friends of Dorothy."
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Margaret Hamilton, who played the Wicked Witch of the West, worried that her character was too scary for children. So she went on "Mister Rogers' Neighborhood" to reassure children that witches were just make-believe and that there was no reason to be afraid. She came on the program in her own clothes, then changed into the witch costume to make her point. What a sweet lady!
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