The best AGD urban legend I've heard of was Madonna. I know she went to college in Michigan for a while, but I know she wasn't initiated!

There are also rumors about Carly Simon and Peri Gilpin being Alpha Gams, but I'm sure there's no truth in that.

Edited to add: Our IHQ website has a special section on Accomplished Alpha Gams. I was the webmistress for my collegiate website and all the information I included was based on that.