There are several "columns" and other regular short features related to unusual events, unexplained phenomena, the paranormal, and related subjects that have appeared in newspapers and other periodicals over the years. Among those are in alphabetical order:
Impossible -- Yet It Happened : This was a column done by R. DeWitt Miller for the monthly Coronet Magazine for several years in the 1940s and early 1950s. The first column appeared in the January, 1940, issue. Miller wrote and published a book in 1947 with the same title, and it was a compilation of some, but not all, of the columns he had written for Coronet up to that time. Miller said in the introduction to the book that it had been "20 odd years earlier" that he began to investigate the mysterious. So that puts it around 1927.
Otto Binders column on UFOs
Ripley's Believe It Or Not : This regular cartoon began appearing in newspapers around 1920, and contunes to this day (2014). Over 100,000 different cartoons have been created over the years.
Spragget, Allen Column on the paranormal (JHR: I used to see this when I was living in Levering, and would cut them out.)