Cryptozoology is pretty interesting stuff, especially when it comes to the genuine reasoning behind sightings and the like. For instance, the Australian Aboriginal "bunyip" legends are thought to stem from a period of time around 40,000 years ago when said Aboriginals lived alongside Diprotodon, the largest marsupial land mammal ever. The bastard was bigger than a rhino. Diprotodon tended to be very intimidating and lived around rivers and other sources of water, which is why bunyips are thought of as aggressive, malevolent water spirits.
For all its excitement, though, cryptozoology hardly has the objective methodology that would establish it as anything other than a psuedoscience.