It is said that whenever you see a Sneasel, black ice is not far behind. This is not entirely true – black ice forms naturally on pavement – but Sneasel and Weavile, being both dark and ice types, can spray it as well, and Sneasel in particular are quite fond of doing so. Although this technique probably originated as a way for packs of Sneasel to hunt large pokemon such as Stantler and Meganium, in this era it is done more often as a prank against humans, its only purpose a Sneasel's own amusement.
Less well-documented, but nearly as widely believed, is their association with heartbreak. Terms like "black-hearted" and "cold" are often used to describe people after a breakup, but it is not as though Sneasel harden hearts in the way which Luvdisc warm them. In all likelihood, this has its roots in an ancient tradition, where a man who wished to divorce his wife must first seek out and catch a Sneasel to present it to her. (Women, in this era, had no such rights.) This was intended both as a test of the man's sincerity and as compensation for the divorced woman: Sneasel are rare and hard to catch, fiercely protective of their trainers, and skilled thieves capable of stealing enough for a single mother to get by. This tradition died out centuries ago, more from the convenience of men and the increasing rarity of Sneasel than from any newfound egalitarianism. This tradition is dead, but remains in our historical memory; Sneasel trainers are still thought of as unreliable lovers, and women often weep at the sight of a newly-caught Sneasel.
As for them bringing bad luck, that is probably a combination of these two stories, warped and simplified by centuries of forgetfulness.