Zombie Elvis Found!
Basically, "Zombie Elvis Found!" is a headline on newspapers that are found on the streets throughout Liberty City and Vice City. The newspaper depicts the headline, along with a black and white photograph of Elvis' face. The headline can also be found on a banner which is attached to the DeadDodo plane, which flies about the city.
This is an in-game joke towards the hysteria that revolved around the alleged "sightings" of Elvis during the 70's and 80's after his death. He is never seen walking around the streets of Liberty City and/or Vice City.
What many players think is an easter egg, some actually think it spawns by the Observatory in GTA III. Some say it has an Elvis-like appearance with a zombie-like face and if Claude gets too close it disappears.