The Herrington LakeHerrington Lake sits in central Kentucky, and it holds more secrets than most people expect. You can find it off Kentucky Route 34, near the small town of Burgin, Kentucky 40310. The First Reported SightingsReports of something unusual in Herrington Lake go back to the 1930s. Herry has a small community of devoted locals, a handful of newspaper articles, and a lot of good fishing stories. How To Experience The Legend YourselfYou do not need to believe in lake monsters to enjoy what Herrington Lake has to offer.