Also, there's a lot of exposition before I discuss this in terms of roleplaying, so just bear with me.
A friend recommended Marble Hornets, only explaining that it is a horror series on YouTube, and it is somehow related to Creepypasta. I started watching it.
It's pretty good, although the acting is a bit wooden. It's well-paced, though, and has a lot of neat concepts — in execution, it has similarities to John Dies at the End, primarily in some of the creepy events and the unreliability of perception (Marble Hornets has much less humor, and shies away from crude humor entirely).
Also, the Slender Man isn't quite a spoiler — you catch a glimpse of him in episode 1, and can pretty well figure out where everything is headed.
All-in-all, I'd recommend Marble Hornets. It's a time investment, but try the first twenty for a good cross-section; if it falls flat, you haven't wasted your time on the whole series (and if you find it too frightening, as some viewers do, you probably won't make it all the way through, but at least you know).
Of course, this isn't a review of Marble Hornets. This is more a discussion of the Slender Man mythos. The following information may be repeated on the above TV Tropes entry, so feel free to skim as necessary (though I'd recommend reading both, as each will likely emphasize different things).
Before Marble Hornets, I was aware of this phenomenon. I knew that he originated from a Something Awful thread within the past ten years, he is tall and thin and wears a business suit, and he steals people away. Or something.
After seeing Marble Hornets and mucking around in the internet hive-mind, I learned some stuff.
As it turns out, the Slender Man was created in 2009 on a Something Awful thread entitled "Create Paranormal Images" (I somehow thought it was earlier). The concept went viral pretty quickly; people started developing the Slender Man in an exercise of collaborative storytelling across the Web (most typically wikis, blogs, and YouTube; all the classic Web 2.0 buzzwords). Though stories do not necessarily agree on his capabilities, the following attributes have been codified enough to repeat throughout media:
• He's tall and thin and wears a black business suit. He is usually depicted standing at about ten feet tall, though he is occasionally depicted indoors, presumably with standard eight-foot residential ceilings (it's possible he can alter his body proportions, like Cthulhu). His face is indistinct, either because he appears differently to each person, or because he doesn't have a face.
• He can stretch his limbs, or grow extra limbs, or grow tentacles. This is used to catch prey, to induce fear in prey, and to hypnotize prey. Bottom line: his limbs and stature should appear unnerving, disproportionate, and distinctly unnatural. The Slender Man is hardly the Vitruvian Man, instead residing in the Uncanny Valley.
• He is typically encountered in wooded areas. His tall, thin appearance is reminiscent of a tree — there are suggestions that this is camouflage, and he is either a man impersonating a tree, or a tree impersonating a man (note that "man" is not an accurate description in either case). This further relates to the idea that he might be a nature spirit (probably a vengeful one who kills intruders in his woods) or a member of the Fair Folk.
• He is associated with abnormal and UFOlogy events, such as electromagnetic interference and missing time (and his presence can upset animals).
• He is typically invisible, only appearing to his victims. He may also be captured on film, even by people who have not yet seen him. This does appear to be the beginning of a cycle that attracts his attention, though.
• The Slender Man has no canonical origin; only hints are provided. In addition to the above theories, some have suggested that he's a member of the restless dead. The most enduring idea is that he's a tulpa — we dreamed him into being, and now we have to live with that fact. In that case, he literally didn't exist until Victor Surge made his post on the Something Awful forums in 2009.
• Maybe the Slender Man can die, but nobody's figured out how to do it yet. Presumably, this is for narrative reasons (if you kill him, you basically end all Slender Man blogs currently running), but it's equally possible that he cannot be killed.
I'm intrigued by the mythos because it has all the good hallmarks of a roleplaying scenario, and there are a lot of resources in place. You could easily do this two ways in a modern day game:
1) Say the characters are friends of somebody, like Jay from Marble Hornets. Give them a DVD with the first, say, 18 episodes. Say that came in the mail, but Jay's gone missing. Let them pick up the investigation where he left off.
2) The PCs run afoul of the Slender Man, but they have help — they can use all the resources on the internet. So, they can ask M for advice, and peruse what others have done.
I like this because I love making handouts, but making short films for your PCs to find can be rather time-consuming (although I still plan on doing it when I have a good idea that I can easily implement). This not only generates enough content to keep them busy for weeks or months or years of gaming, it creates a ready-to-run sandbox plot for your PCs; you need to keep moving to avoid the Slender Man, and hopefully you can find enough data to actually defeat him. Weird things will happen along the way.
Depending upon the setting (the GM could always run this game in an established modern setting like the World of Darkness or Call of Cthulhu, after all), the PCs might encounter other weirdness, as well.
One more thing: the Slender Man is typically postmodern, but the astute will recognize strains of UFO mythology and the Fair Folk. Carl Sagan connects all these concepts in his book The Demon-Haunted World (you can find the book in pdf format here), suggesting that fairies and aliens are all components of a common psychological construct among humans, connected with dreams and sleep paralysis. As such, it's entirely possible to include the Slender Man in historical games or fantasy games (for that matter, you could run a psychological thriller where the Slender Man is all in the PCs' heads). Here's an example, incorporating Slender Man mythology in D&D:
The twisted, gnarled woods to the east are best avoided. The trees are spindly — useful for kindling, but typically too small for timber. Some might use the wood for simple huts if the forest were not haunted.
Many tales are told about those woods — that the forest is filled with strange, fey predators; that the forest holds a cult, or even stranger inhabitants; or that the forest even holds a portal leading to a forgotten and ancient temple of some old dualism religion.
The truth is this: the region was once a place of tall trees, guarded by treants and all manner of plant creatures. It is entirely possible that a gate to another plane once existed in these woods (in fourth edition, these woods could be close to the Feywild). Some previous settlement scattered the guardians of this place, scouring the land for timber and coal. Poorly-considered agricultural practices stripped the land of nutrients, nearly ruining it forever.
Something happened. Maybe one of the creatures became corrupted by the horrors wrought upon the land, or maybe a vengeful druid cast one final spell. Since that time, something horrible has stalked the forest, and no one dares enter those woods. The forest has since regrown.
Now, the forest's only inhabitants are a group of masked druids who worship the nameless thing that defends the forest. It is tall, pale, and faceless. Clad in black robes, it wanders the forest — it attacks intruders relentlessly, disemboweling them and impaling them on the trees as a warning. This creature might be immortal, but no one has ever survived the woods long enough to investigate and research it.
The ultimate motives of the druids are unknown; worship is merely the most likely explanation. Some claim the druids may wish to keep interlopers away from the woods, while others claim they wish to actively bring more sacrifices for the Slender Man.
Edit: There's now a brief ramble on the Slender Man on the next post.