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At one point, the Oracle tells Neo:

Oh, of course you have. Every time you've heard someone say they saw a ghost, or an angel. Every story you've ever heard about vampires, werewolves, or aliens, is the system assimilating some program that's doing something they're not supposed to be doing.

Was there any evidence for that within the Matrix movies? Were there any actual instances of vampires/werewolves/aliens?

The only instance I recall of a program not doing what it was not supposed to be doing was Agent Smith. And he was NOT a vampire.

Vmap
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There were at least 2 instances. As per Persephone Wiki entry:

Before shooting her husband's employee in The Matrix Reloaded, Persephone mentions needing silver bullets, implying that he is a werewolf.

In behind-the-scenes footage, Persephone herself is described as a "vampire that seeks after emotions".

I don't recall any aliens, but there was at least one Elf :)

DVK-on-Ahch-To
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    I have, however, failed to observe any lions and tigers and bears. Oh my. – DVK-on-Ahch-To Feb 21 '12 at 15:42
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    Persephone's backstage comment sounds more metaphorical, not that she (her character) is literally a vampire as we know them. – Kevin Feb 21 '12 at 16:04
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    Additionally the Albino Twins were basically ghosts. – Jack B Nimble Feb 21 '12 at 16:05
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    @Kevin - a vampire which feeds on emotions is one of the archetypes (classes?) of vampire in fiction – DVK-on-Ahch-To Feb 21 '12 at 16:05
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    I'm not saying there are aliens... but its aliens! – Jared Feb 22 '12 at 03:02
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    These are both examples of witty dialogue, rather than literally examples of mythical beasts. – Django Reinhardt Dec 08 '12 at 17:45
  • We consider aliens as something not from earth. So the matrix would consider aliens as not from the matrix. Which arguably would be anyone unplugged who hacked their way in. –  Jun 26 '13 at 15:24
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    @JackBNimble Yes, and I believe The Merovingian basically tells Neo some of his henchmen are basically hideouts from previous versions of the Matrix. –  Feb 06 '15 at 01:46
  • @DVK-in-exile: Seraphim (Oracle's guardian) is strongly implied to be an angel, both by name and by visuals (in Matrix-code). – Philip Klöcking Aug 20 '16 at 14:06
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In the current version of the Matrix (current as of the start of the first movie), the machines did not create any monsters or other fantastical elements.

However, between Agent Smith, Persephone, and the Architect's expositions, we learn that this is the third iteration of the Matrix. Smith explains the first one -- a paradise matrix where every human got everything they wanted. The human mind rejected that version as too unreal ("whole crops were lost"), so they scrapped that version.

The second version is a little more mysterious, since we have to wade through the Architect's dialog to get to it. It was a matrix where the machines tried to build in the concept of cause and effect. This is the matrix where The Merovingian came into play (thus his fascination with cause/effect in his dialog). Persephone mentions that many of his henchman came from an "older version" of the matrix --The Twins, for example, are supposedly the second matrix's version of Agents.

This second matrix was a "nightmare" world, the exact opposite of the paradise world. It was populated by all of the horrors from the human psyche. Presumably, this was the machine's natural reaction to the first failure -- do everything exactly the opposite. In that matrix, all of the fantasy monsters from our mythologies were real. Thankfully, humans must have rejected that Matrix too, because they made a third one.

In the third, current matrix, the Oracle introduced the concept of choice ("free will"), allowing the attached minds to behave on their own. That was the final key element that kept the humans invested in the illusion (but is also what led to the eventual need for The One). This third matrix is a faithful replication of late-20th-century human culture, so there won't be any monsters in it. Those old programs should have been hunted down and terminated ("returned to the source") in the same way that The Keymaker, Sati, etc. should have been. But obviously, some obsolete programs escaped, and The Merovingian likes to collect them.

So yes, there were monsters in the matrix but they were anomalies that should have been wiped out, but managed to escape.

KutuluMike
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The Oracle was simply giving an example of the nature of the Matrix...

"Oh, of course you have. Every time you've heard someone say they saw a ghost, or an angel. Every story you've ever heard about vampires, werewolves, or aliens, is the system assimilating some program that's doing something they're not supposed to be doing."

This just basically refers to a Hack. Smith, hacked the Matrix with help of Neo, when he "destroyed" him, his machine bind was released, Smith became Neo's Yang, as he became Smith's Yin. That's why in the end them both, had to become One again. The old tale of Light coming out of Darkness.

Getting back to the topic, this Werewolf, Vampire, Alien dilemma doesn't exist in the Matrix, the Oracle just stated that as telling Neo that there's a Program for every living thing, an entity keeping surveillance over that, meaning that the Smith's were there to keep order, until that one was freed by Neo, there he started manipulating the Program to his bidding. Meaning, that's a program that is doing what it shouldn't doing.

In this ages technology, Vampires, Werewolves and Aliens are common. Because that's what they feed you on TV.