This and Aren't You Glad You Didn't Turn On The Lights? are the first ones I ever heard.
     There was once a little girl named Sally. She wanted to get a dog so her parents took her down to the local pet store and she picked out her dog.
     Before she bought him, the store owner warned her that if she was serious about having this dog, she must make him a promise that every night before she went to bed, she'd lock the dog up. Sally agreed and bought the dog.
     For five years, Sally kept her promise but one night, she forgot. (Probably got too tired or something.) So the dog got out and all night, this is what Sally heard:
      Sally, I'm in the kitchen with the kitchen knife. Sally, I'm in the hallway with the kitchen knife. Sally, I'm in your parents' room with the kitchen knife.
      Sally, THEY'RE DEAD!
      Sally, I'm in the hallway with the kitchen knife. Sally, I'm in your brother's room with the kitchen knife.
      Sally, HE'S DEAD!
      Sally, I'm in the hallway with the kitchen knife. *Loud walking noises* Sally, I'm headed up the stairs with the kitchen knife. Sally, I'm in the hallway with the kitchen knife. Sally, I'm outside your door with the kitchen knife. Sally, I'm in your room with the kitchen knife.
      Sally, YOU'RE DEAD!!

Side note: If it was me, I wouldn't have bought the dog in the first place. Also, I told one of my friends this story and she told her mother who's only question was how the dog could climb up the stairs, holding a knife, and sing! Lol