One boring Monday morning in the lab a group of us did the experiment, and to our surprise we found that the hot water (in sealed containers) did freeze faster.
On closer examination we discovered that the shelves in our freezer were covered in frost, like I imagine most freezers, and the hot water was melting the frost and creating a good thermal contact between the beaker of water and the shelf. That turned out to be why the hot water froze faster. When we thoroughly cleaned the freezer shelf the effect went away and the hot water took longer to freeze.
I think the rumours about hot water freezing faster illustrate the dangers of improperly controlled experiments. As Ron mentions, evaporation could also be a factor and it would be easy for a home experimenter to get the wrong conclusion. Add to that the fact we'd secretly all be delighted if we could prove hot water really does freeze faster, and you can see how the rumour has spread.