For some reason the narrative fallacy does not seem to get as much play as the other major cognitive fallacies. Apart from discussions of "The Black Swan", I never see it mentioned anywhere. Perhaps this is because it's not considered a "real" bias, or because it's an amalgamation of several lower-level biases, or because it's difficult to do controlled studies for. Regardless, I feel it's one of the more pernicious and damaging fallacies, and as such deserves an internet-indexable discussion.

From Taleb's "The Black Swan"

Essentially, the narrative fallacy is our tendency to turn everything we see into a story - a linear chain of cause and effect, with a beginning and an end. Obviously the real world isn't like this - events are complex and interrelated, direct causation is extremely rare, and outcomes are probabilistic. Verbally, we know this - the hard part, as always, is convincing our brain of the fact.