"You notice the lantern dangling from his hand? Hops ahead -people follow the light -- then --"
-- Remus Lupin (PA10)
The hinkypunk is a little one-legged creature, with the appearance of being made of smoke. The hinkypunk carries a light with which it lures travelers into bogs.
Harry's Defense Against the Dark Arts class is meant to start studying hinkypunks on the day that Snape is their substitute teacher. They instead study werewolves.
Lupin uses a hinkypunk as a part of his final exam in which students had to ignore its misleading directions as they crossed a marshy area. The hinkypunk succeeded in misleading Ron Weasley, eventually leading him into waist-high marsh.
Hinkypunk is the West Country (Devon and Somerset) name for the Will o' the Wisp, a creature from folklore described this way in Wikipedia:
"... an atmospheric ghost light seen by travellers at night, especially over bogs, swamps or marshes. It resembles a flickering lamp and is said to recede if approached, drawing travellers from the safe paths."
The Defense Against the Dark Arts class that Professor Snape teaches for Lupin, in which he changes the topic of discussion from hinkypunks to werewolves, is the class in which Snape's famous request of "turn to page 394" is uttered (PA9).
From the Web
"Hinkypunk" on the Harry Potter Wiki