First off, I’m not talking about being a world builder and creating gods here. That’s a lot easier. Even combining them into pantheons, still easier than this.
What I am talking about is stringing stories together so effectively and so interwoven that they form a mythology. What do I mean? Well, don’t think of the Greek pantheon as mythology, because simply knowing the gods and goddesses is not the mythology. It is the stories that form the mythology. Hercules’ 12 Labors, the Odyssey, the quests of the Argo - these are what make up the mythology. But you know what else does, right? Comics! The interplay between the Avengers, Spider-Man, the X-Men and others, while they swap villains and intermingle story lines - That’s mythology!
But that is nearly impossible to build on your own. First off, the myths and comics have shown us how impossible it is to maintain continuity. Over the years stories tend to blur together, different story tellers change things up, and after a while, it just seems like the same super characters did everything. Sound familiar?
But the other reason you cannot do it on your own, is that some of those continuity slips are what make it work. Retconning somebody else’s story to make it more logical is part of it - a part you cannot do alone. As the world builder, you know what really happened. It is difficult to try and force mistakes in your own creation.
So how do you “fake” those mistakes? In order to make a set of characters so well known, but not, is to intentionally hide the facts from the players. You do that all the time, right? Not as often as you should. When you give them the mission briefing, do you role-play the quest giver and make sure he is only telling them things from his point of view? Not only are there things he shouldn’t know, but his opinions should be skewed. Maybe his intelligence gatherers were poor. Maybe he hates some group and naturally assumes it was them, even though he cannot prove it.
But that doesn’t create the mythology, at least not on its own. In order to create mythology, you need to have heroes - heroes that did wild and crazy things and lived to tell about it (at least some of them had to live). There is only one way I have seen that work in a fantasy role-playing world: Old campaigns. How do you get your players excited about something? Let someone who played a mission there once before tell them about it. (Admittedly you need older players who can actually tell interesting stories!) Having them encounter similar monsters or even the same NPCs helps to weave that thread of continuity, but you need to have other folks do it. Having the GM constantly giving this kind of information becomes dull pretty quick.
Think about it this way - Every time you get a gaming session together that runs in the same world, you are creating mythology. The longer you can run the same world with some of the same players, you are enhancing that mythology. Use it whenever you can to help coax it along.