To my knowledge, Montana (surprisingly enough) doesn't have any werewolf folklore. There might be some among the Native American tribes, but that would be the extent of it. And if there is, it's not well known. We do have our fair share of ghost stories, and our own version of the Loch Ness Monster.

Vin, the story you told about that cave reminds me of the ghost stories for some of the mines here in Montana. Folklore goes that if you look into the mine shaft when the time is right on certain days, four pairs of lonely eyes stare back at you, looking up from the bottom of their deep, dark grave. There are strange noises heard in the mines, miners have had shovels and buckets disappear, and there is talk of a white goat that traverses the mines and butts miners down shafts.

Locally, in the city I live, several rooms of the University are haunted (three halls and a theater). One hall is haunted by a female student who took her life as a result of the Great Depression, another hall has a ghostly class attending a ghostly lecture, and the other hall has had some unexplained occurrences that include blood-curdling screams. The theater of the University is haunted by a spectral dog, a murdered girl, and a deceased theatergoer. Our Children's Theater is haunted by a poltergeist that will prompt the actors if he likes a production, or will throw the storyboards if he doesn't like the production.

We also have a haunted house. According to the first family that moved in and renovated it, the house was still standing since Victorian times. There was a rash of mysterious deaths from various illnesses, heart attacks, and one person who has been known as the first to ever die from gunpowder fumes. In the 1940's, the current family living there started to hear awful screams that would start low and then build in pitch, then stop, then repeat . There were two screams, or shreaks, and it was a woman's voice. This happened through until the 1980's When they had it all fixed up and were moving in, one of their cats let loose a long and loud yowl as it entered, the likes of which the family had never heard before. It sounded as though the screams were coming from inside the walls. The family searched for the source of the screams, but nothing was found. They even went so far as to call the police, the fire department, electricians, and plumbers, but none of them could figure it out. When a son became ill, they had a priest over to perform an exorcism on the house after the son passed away. Since then, they haven't heard the screams again.

After several years passed, one of the children claims to have seen names and phone numbers written on the walls of her bedroom. After several more years, she died of an overdose in the very same room. So now there was just one widowed family member owning the house, ended up leaving it. Neighbors helped the authorities round up the cats living in the house at this time by setting traps. Some say they caught twelve or fifteen, but the neighbors swear there were at least thirty. A psychic investigated the house when it went up on the market, claiming he sensed "perverted violence and sex" and the spirit of a hateful old woman who died there and wasn't found for a while. So tales ended up getting passed down of families in the past, and even some less connected ones were told of murder, backyard burials, and a German butcher who put his wife through a sausage mill.

An attorney then purchased the house in 1987 in an attempt to preserve it. The structure ended up having to be demolished, and according to neighbors, when the building came down, a huge population of mice poured out to infest the neighborhood. The neighbors wanted the building razed, but the attorney persisted in rebuilding with salvaged parts. The house then had several other owners since then, who all helped to repair it in various ways. One of them had an experience, where the air around him grew suddenly cold. His fight-or-flight responses kicked in as he felt a nearness of some kind of presence. Jumping up, he assumed a defensive posture and called the presence out. In response, a horrible ear-piercing scream came from the back stairway as it reverberated throughout the house. He ran to the stairway, where on the landing he was greeted by two black cats on the steps. They immediately turned around and ran away. He had never seen them before and never saw them again.

The information I gathered I got from the site http://theshadowlands.net/places/montana.htm and from Ellen Baumler's books Spirit Tailings and Beyond Spirit Tailings.

I haven't read through the thread to see if there are any other NC mountain folks, but . . .
In Valle Crucis (Vale of the Cross - Could the name be any better?), there have been "reports" of a wolf-like creature that stood like a man with glowing red eyes, that haunts a little stone church.