I wouldn't say it's slang but it's a bit of an incomplete thought. The second person using 'you' in a general context. So the first person obviously did something or said something that reminded the second person of a story they had heard.
The second person is giving a reason for being scared, which is that they'd heard scary stories about things happening to people.
Without more context it's a bit difficult to explain more.
Hope that helps,
Andrew