If someone was to mention the man in black, or black man, my mind would instantly be cast back to the confessions of Isobel Gowdie and her description of the Devil. People like to separate witchcraft from working with the Devil, however, it is a very common theme in many traditions of witchcraft, both old, and new.
As Weather said, the Crossroads are seen as in intersection, there are lot of these beliefs in traditions of witchcraft. It is a between idea: areas in which you are between something are seen as sacred spaces and perfect spots (some would say portals of energy) to engage with the other side. The crossroads is a prime example of this as you are between directions, other things include door-ways, a gap in between a hedge, underground caves, the list could go on.
That is the rationale behind the idea, however, the spirit which one interacts with will differ dependent on one's intent and tradition. I don't think it is a matter of certain beings being associated with crossroads per se, but rather cross roads being associated with other-worldly beings in general.
I wouldn't call it granting wishes myself, I would say making an oath or pact, it is similar in other forms of spirit workings. As with most magical practices involving spirits, if you're scared it probably means your not prepared mentally.