Devil's Kettle Falls is in Minnesota's Judge Magney State Park. This is a very unusual, and even mysterious waterfall. As can be seen in the picture, the river is split in two as it goes over the falls. The section on the right, lands at the base of the falls and continues downstream. The section on the left vanishes into a pothole known as the Devil's Kettle and noone knows where it goes.
It is believed that the water makes its way out to Lake Superior by means of underground passages, but the exact details are unknown. They have thrown dyes and logs and other things into the pothole, but apparently nothing ever comes out. If you have ever worried about falling over a waterfall, imagine falling into the Devil's Kettle.