There are published instances of conception occurring by a non-vaginal transmission of sperm. In 1989 Hicks reported such a case in the British Journal of Obstetrics and Gynaecology ("Oral conception: Impregnation via the proximal gastrointestinal tract in a patient with an aplastic vagina." Volume 96, page 501). Essentially a young woman with a congenitally absent vagina performed oral sex on a lover, and subsequently received a penetrating stab wound to her abdomen. Several months later she was found to be pregnant, presumably by an intraabdominal transfer of sperm between the gastrointestinal tract and uterus.

This report referenced a much older case from the American Civil War, where a soldier received an errant bullet to the scrotum that subsequently lodged in the belly of a field nurse. She subsequently became pregnant and had a child that bore a striking resemblance to the soldier. Interestingly, they later married and had several additional offspring. Love indeed conquers all.

The second case you note is bunk. There was an episode of Mythbusters that looked at the impossibility of such an event, as well as a Snopes report that all of these legends were completely fabricated. Read about it here...

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Technically, virgin pregnancy is possible. There have been documented cases of women becoming pregnant by close contact with semen without having sex and their hymen is still attached. However, these pregnancies still needed sperm to occur. Immaculate conception however, is a different story :-)