Amongst the many rumors and urban legends about FBI director J. Edgar Hoover is one that appears to be partly true, at least according to snopes.com.
The story revolves around Hoover's love for neatly typed memos, with wide margins. One day, he received a memo on some subject or another, and returned it with just one comment: "Watch the Borders".
So, according to the story, hundreds of FBI agents were sent to the borders with Mexico and Canada to watch for anything suspicious. Since the people at the agency only had three words to work with, and were afraid of approaching the director to ask what it meant, hundreds of agents were sent off willy nilly.
Only part of this story is true. While the memo, and the response, and the confusion are all true, it was not a matter of hundreds of agents being deployed. What really happened was a few quick and confused calls amongst various branches of the FBI, but no actual action was taken. Someone figured out the mistake, and nothing further happened.
I am not even going to try to guess about the cross dressing