In South Korea, they firmly believe in Fan Death. This is a recognized malady, and a cause of death that is listed on death certificates and in obituaries. You can get some info on it here: http://www.fandeath.net/ It's rather interesting; the newspapers keep tabs on it and prints statistics over the years.
This just shows that a lot of superstitions can persevere over the years. It also explains why you need to sleep with the fan turned off.