In "The Horse of a Different Color (That You Rode in On)" by Howard Waldrop, it’s Penn and Teller meets H.P. Lovecraft (almost) in this strange anecdote from the dying days of vaudeville.  Told in the format of a Q and A interview, this is the story of Manny Marks (formally Marx), youngest of the Marx Brothers, being interviewed by one Barry Winstead, who is conducting research for a book on the death of vaudeville.  After telling Winstead briefly how he got his start, Manny goes into detail about some of the other acts he played with in those days, chiefly a strange duo known as Dybbuk & Wing, who did a dancing skeleton act and a horse suit act called the Ham Nag.  When not onstage, the duo spent the rest of their time reading strange old books filled with arcane lore and writing letters.  It seems Dybbuk & Wing were onto something strange involving T.S. Eliot’s "The Waste Land," a feud between the Catholics and the Freemasons, and the Holy Grail(?)

This isn’t an earth-shattering tale, and not one of Waldrop’s best, but it  is a fun blending of historical fact and conspiracy theory, and a nice glimpse at the bygone days of vaudeville.