From the Spook Light WikipediaArticle:
The Spooklight, also called the Hornet Spooklight, is a mysterious visual phenomenon allegedly experienced by witnesses in a small area known locally as the “Devil’s Promenade” on the border between southwestern Missouri and northeastern Oklahoma west of the small town of Hornet, Missouri.
Despite the fact that it is named after a small, unincorporated community in Missouri from which it is most commonly accessed, the light is most commonly described as being visible from inside the Oklahoma border looking to the west. The Spooklight is commonly described as a single ball of light or a tight grouping of lights that is said to appear in the area regularly, usually at night. Although the description of the light is similar to that of other visual phenomena witnessed throughout the world, the term “Spooklight” when standing alone generally refers to this specific case. Numerous legends exist that attempt to describe the origin of the Spooklight, one of which involves the ghosts of two young Native American lovers looking for each other.