Feu Follet: Basically the same as Will O' the Wisp. I've actually only heard mention of this once in my entire life (that I recall), so I wouldn't call it common.
These two are commonly known:
Cauchemar: Sleep paralysis is believed to be behind this, but it's generally described as an attack by an evil spirit or a witch. You could have it be an invisible creature from another realm instead.
Rougarou: Technically, this is more or less your classic "cursed" man that turns into a wolf (though variations do exist), but there's no reason in your setting it couldn't be from another realm instead.
Interesting article & comments here...
Also, note that Louisiana is the only state in the US that still uses "Parish" as a governmental division, rather than "County." This is because the state has a long history of being Catholic, so all the usual superstitions and beliefs found in any Catholic area are also here. Folk Healers are a part of life here, and incorporate Catholic & Voodoo traditions. My grandmother actually took me to one when I was a child, and I still recall my grandmother lining all her doors and windows with salt to keep the evil spirits away...
If you can get your hands on a copy of
Louisiana: A Guide to the State, published back in the 40's, I've read it's got a good section on La. Folklore. Of course, it's old, and a huge book, so much of it is going to be out of date, but the folklore section probably has more info than any modern Cajun or Creole person knows about, IDK for sure. Most of what gets bandied about nowadays is talk of ghosts and hauntings. Every old house or building is rumored to be haunted around here. Old, abandoned cemeteries too, always found out in the middle of nowhere, and wouldn't you know it, they're said to be haunted.
Speaking of cemeteries, a note on geography - almost all of South La., if you dig down 3', you'll hit the watertable. This is why burials are mostly above ground in mausoleums here. An airtight coffin will float back to the surface if you bury it. When Hurricane Rita hit and flooded areas with cemeteries that were long thought "high & dry," a lot of coffins came floating to the surface. This happened at the cemetery across the street from my dad's house. There were 6' deep concrete boxes lowered into the ground, with the coffin inside, then a concrete lid placed on top. That worked fine until the box filled with water, the coffin floated the lids off (cracked many), and they just popped up like corks...
You'll find no cellars, or storm shelters, built underground in south Louisiana, and most homes are built on piers or, near waterways where it's known to flood regularly, taller stilts.