How did Nags Head get it's name?

As legend has it....Pirates in the 1700's would hang a lantern around the neck of  an old horse, commonly referred to as a nag, and walk it up and down Jockey's Ridge.  A ship at Sea would see these lights and think that it is a ship or ships docked safely in a harbor.  The captains of these ships would then sail toward the non-existent harbor and run aground on the sandbars.  Then the pirates would go out to the stranded ships to pillage and plunder. 

Do you have an interesting tale to tell about the Outer Banks?  We would love to hear it.
Pics from  http://www.ncfbmagazine.org/2009/01/the-legend-of-nags-head/