I truly love most of these answers and to me it is hard to choose but I think my favorite stories are also about Persephone. How she is released during special seasons and this makes things grow and then when she is returned to the underworld the leaves turn and start to fall and eventually it becomes cold for winter. I love the names of the old greek gods and goddesses and tend to name my pets after them.
The Valkyrior! Absolutely! Whether as the earlier versions as frightening harbingers of death riding corpse-eating wolves, or the more romanticized gorgeous women warriors atop winged horses who take the elect to Valhalla after proving their worth in battle, I am a fan. Why is it that the better of Odin's offspring are out of wedlock?
The Windigo. A group of creatures that would attach themselves to men's souls and feed on them. They would also go back to their tribe and devour who they could before being discovered. Love that story. Blood thirsty!
Please do. I discovered the story of the Windigo and have been fascinated ever since. There is a weekly show that was shown on Showtime channel (I think) called "Fear Itself" that had an episode about the Windigo called "Skin and Bones". It was really wild and honestly somewhat disturbing.
The Sphinx!! A half-woman half-lion guardian creature that ask you a riddle. Guess right and you may pass, guess wrong and she tears your throat out. All of the versions I have read state this as the riddle: What creature goes on four legs in the morning, two legs in the afternoon, and three in the evening? Can anyone guess?
Dragons. I wish that we could find evidence that they existed once upon a time. It'd be beyond amazing to stumble across the bones of an ancient predator the size of a 50ft Sauropod with giant 300ft wings span... or something along those lines. I think they were out there at some time; the myth had to come from somewhere. It'd be amazing to finally see proof of one legend.