My favorite shaggy dog is from the video game West of Loathing, about a buttfor. It's written on plaques in a cave and goes into lots of detail about the buttfor, the lengths to which the authors went to find it, and suggests the possibility that it might be hidden within the same cave. Alas, like a good shaggy dog, the cave is just a dead end, there's nothing in it, the buttfor is nowhere to be found, and you have to spend minutes walking back out of the cave like a chump.