Butterfly Legends 

According to one Native American Legend,
If you catch a butterfly and whisper a wish to it,
and let it go, that wish will come true.  Since
the butterfly makes no sound, it will keep 
your secret from all but the Great Spirit,
who will grant your wish.


According to people of certain areas of
Mexico, Monarch butterflies carry the spirits
of dead ancestors to visit.  They arrive each year
on (or near) the Day of the Dead (November 2),
to visit and to take the souls of the newly-departed
away with them.

In certain areas of Ireland, people 
believe a white butterfly or moth is a soul
on its way to paradise.  If the wings are
spotted, the soul must pay for its sins in
purgatory but a pure soul will be all white.

Funk and Wagnalls' Standard Dictionary
of Folklore, and Legend says "to get a new 
dress all a girl need do is to catch a
butterfly of the desired color and crush it
between her teeth while muttering a magic
formula." (The article doesn't say where or
why this belief is held.)