This is quite silly but I quite like it. I guess the combination of isolated moorland, darkness and a seemingly intelligent light would get to lots of people.
Jack-a-lantern.. This I believe to be the only name known [for the phenomenon] in the district. [It] only occurs in certain parts of Brendon Hill and the Exmoor district. It is said that a farmer once crossing Dunkery from Porlock to Cutcombe, and having a leg of mutton with him, was benighted. He saw a Jack-a-lantern and was heard to cry out while following the light, “Man a lost! man a lost! Half-a-crown and a leg a mutton to show un the way to Cutcombe!” 1886 ELWORTHY, West Somerset words (EDS), p 375.
Quoted in The Devil and His Imps: An Etymological Inquisition
Charles P. G. Scott
Transactions of the American Philological Association (1869-1896), Vol. 26. (1895), pp. 79-146.