The classic example:
http://en.wikipedia.org/wiki/Super_Bowl_XXXVII
This game as well:
http://espn.go.com/nfl/recap?gameId=291011007
Countless Mangini vs. Belichick matchups
The Ravens with Caldwell as their offensive coordinator effectively shut down Peyton twice (though that can be attributed to the Ravens stellar secondary).
Any time you have a coach leave they are bound to have in-depth knowledge of that team and of the players they coached. While it's difficult to pinpoint all of the specifics in writing, it's one thing to see something on film and it's another entirely when you were the one sitting there game planning and watching a player play. Only the coaches know how the play was supposed to be drawn up. With Tim Tebow for instance, the Jets (and the rest of the league) may have been under the impression we designed more of those improvised passes/throws than McCoy actually had. Only the coaching staff knows how the plays were supposed to be drawn up. The film may show a player following his progressions but there are lots of pre-snap reads that eliminate unnecessary progressions from the content of film study.
It's definitely not a myth. A coach does have an advantage against his former team that film just doesn't give. It's difficult to put into statistics because it's more of a "human" element to the game. Football just isn't that kind of game and there are too many variables to ask for statistical evidence.