In modern smart grids deployed with various advanced sensors, e.g., phasor measurement units (PMUs), bad (anomalous) measurements are always inevitable in practice. Considering the imperative need for filtering out potential bad data, this paper develops a novel online bad PMU data detection (BPDD) approach for regional phasor data concentrators (PDCs) by sufficiently exploring spatial-temporal correlations. With no need for costly data labeling or iterative learning, it performs model-free, label-free, and non-iterative BPDD in power grids from a new data-driven perspective of spatial-temporal nearest neighbor (STNN) discovery. Specifically, spatial-temporally correlated regional measurements acquired by PMUs are first gathered as a spatial-temporal time series (TS) profile. Afterwards, TS subsequences contaminated with bad PMU data are identified by characterizing anomalous STNNs. To make the whole approach competent in processing online streaming PMU data, an efficient strategy for accelerating STNN discovery is carefully designed. Different from existing data-driven BPDD solutions requiring either costly offline dataset preparation/training or computationally intensive online optimization, it can be implemented in a highly cost-effective way, thereby being more applicable and scalable in practical contexts. Numerical test results on the Nordic test system and the realistic China Southern Power Grid demonstrate the reliability, efficiency and scalability of the proposed approach in practical online monitoring.