This is one of my favorites! The urban legend varies from place to place but here is the gist:
A couple go on vacation in Mexico. They purchase a beautiful cactus and take it home with them. Several weeks after returning from their trip, the cactus starts vibrating. They call the local nursery who tells them to vacate the premises immediately and call the fire department. The cactus then explodes, spewing huge tarantulas throughout their house.

This is impossible on so many levels that we tarantula hobbyists find it hilarious. First of all, tarantulas do not lay their eggs in cacti, or any other plant matter. They retreat to their deep burrow where they spin a silken bowl-shaped mat to deposit their eggs in. They then wrap it up in a nice little ball. The egg sac is usually about the size of a golf ball and there can be 50-2500 eggs in one sac. Around 6-8 weeks later, the darling little tarantulas make their way out of the sac and disperse. Newborn tarantulas are tiny, 1/8" for most species. They are light pink, almost transparent, and are very fragile. The hatching of an egg sac can in no way be described as an "explosion" and the babies certainly don't spew out.

This legend originated in Scandinavia in the 1970s, and has grown and mutated ever since. Since most folks aren't aware of a tarantula's reproductive habits, it can seem plausible. Rest assured though, it has never happened and you are perfectly safe purchasing cacti or any other live plant, for your home.