Mythology
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In the old days, before any fiction story exist, there were people so bored they got fucking high from consuming mushrooms or anything that makes a person hallucination that they started to seeing things differently. After that, they wrote a bunch of crap that may or may not be true such as stories about flying reptile that can breathe fire, long bearded man with short leg, even claiming the existence of supernatural deities that are watching over them. Whether or not these deities are real or not, people laughs at it. At first it was funny that some mad man claiming this ridiculous accusation exist, but eventually they became legend or myth, and as these legends passed down from generation to generation as either stories or religion, it gave birth to the fantasy genre we all knew and love. Mythology is the combination of history and fantasy because we can never be sure they are true or not. It often contain bizarre and fucked up them like incest and rape because people in early generation has no decency and they were high as fuck. All mythologies has their own world creation myth as a setup to how these associated deities came in to place. Of course with different cultures from country to countries, mythology can be quiet different and they all had their own angels and demons based on how their own cultures perceives them.
Connection with Fantasy Genre
As you can see, many an author took interest at the old legend and decided to include its elements in their own stories. Notably, Tolken took many elements from the Norse and Germanic Mythologies and popularized the concept of fantasy races like Dwarfs and Elves.
Mythologies
Greek Mythology
There's a god for every aspect like smithing, governing and war. The most important gods/goddess you need to know are Zeus the guy with the lightning power who is the god of all gods; Athena, goddess of wisdom and war born from Zeus having a massive headache fully grown up and armed; Hades the god of greek hell/underworld and Zeus' brother; Poseidon the god of sea and Zeus' other brother.
According to Greek myth, Uranus (the first ruler of the Universe) was killed by his children, a race of giants known as the Titans. Cronus, the last born of those giants and the one who took up Uranus' throne, fears that he might be killed by his son one day so he ate each one of them as a new one is born from his wife Rhea, but Rhea hide Zeus and fooled Cronus with a rock to his belly. Zeus then grows up and kills his father, saving all his brothers and sisters inside his father's belly (and who were somehow undigested), thus igniting a war that leads to the overthrow of the Titans. After all Titans are dead (or imprisoned in the Underworld, which amounts to the same thing), Zeus formed a government with the rest of his gods while living a comfy hedonist life where he raped many mortal girls and had many bastard sons for the lulz.
Most notable heroes with lots of media adaptions: Hercules, Athena.
Most notable villains in media adaptions: Zeus (as a giant dick of a King), Hades (only a villain in media adaptions; the original Hades was considered highly honorable), the Titans and their spawn, Ares.
Interestingly, Eldar and Elves of the warhammer deities and their background stories took a lot of element from Greek mythology.
Norse Mythology
Like the greeks ironically there's a god for every aspect and their most hated enemies are tower tall humanoid creature who the gods/goddess also related to, but was called frost giants instead of titans, but with a lot more references to snow, winter and wolves.
Basically at the early world's life cycle, there were these frost giants and they were sweats born from the armpit of Ymir, the first of giants. The said giant was born from ice and so was a giant cow. Then that giant cow accidentally created a god by just licking a salty rock and gave birth to the first god name Burri, who then fucked his waifu Bestla and gave birth to Odin and his brothers. Odin does not like giants since they came out of Ymir's stinking armpits like rats and they eat alot so he and his brother killed Ymir and thus also killed/drowned other giants with its flood of blood. Odin then use Ymir's body to forge a new world. The death of Ymir also brought forth many life form without Odin's touch like the Dwarves, who were basically ymir's corpse maggots.
Then like the Greek gods, Odin formed a government with gods/goddess of each daily life aspect. And then Ragnorok came.
Most notable heroes with lots of media adaptions: Thor, Sigfried/Sigurd.
Most notable villain in media adaptions: Loki, Fafnir.
Christian Mythology
The one everyone most familiar with in the western countries since you can learn them in church.
Many of the Christian mythology is taken from the old Hebrews bible, meaning Christian mythology is one of the many mythology that was derived from Jewish mythology, the same goes to Islamic mythology and many others from the middle east countries.
So in Christian mythology there's only one god: Yahweh, which most people would just refer to him as THE GOD since his name is too sacred to spoke of. He also has other name like Jehovah.
Before the world was born, there was this "war of heaven" (not this one) where Lucifer, the arch angel rebelled against god with some other angels, but was defeated and cast down to hell where the said Lucifer is trapped in the lowest level of hell, where his lower half is trapped inside a frozen lake of his own tears.
After that, god creates the world. It is said that the god created the world in 7 days, hence the Sunday, Monday, Tuesday, Wednesday, Thursday, Friday, Saturday. He Then created many animals, plants and the two human: Adam and Eve. He observe them in the garden of Eden (Aka his research facility) watching them having fun and tell them not to eat the forbidden fruit of knowledge in the garden. But that promise was broken when Eve the girl was tempted by the winged serpent in the garden to eat the fruit. Adam and Eve having eaten the fruit, they gained knowledge and dignity which made them embarrassed by their lack of clothing. God found out and exile them to the mortal world. The serpent is also punished with his wings taken from him, turning him into the snek we all knew and feared.
In the mortal world, Adam and Eve worked hard to survive. They then conceived the two sons: Cain and Able. Cain is a farmer while Able is a butcher. They both offer their product to god but god only favor Able's (according to some, it was because Cain hid his best offering from god. By this point if you are a true Vampire: The Masquerade fan, you would know what's coming next, but without the vampire shit. Cain's punishment for murder is to never farm. Whenever his spill his brother's blood, earth became cursed so that it can never grow anything, basically deny Cain's favorite job and career. However, punishments differ in other mythologies and it's a clusterfuck. Cain and Eve later had the third son Seth, which is the true ancestor of human kind and Cain is then exile to the land of the Nod where he build the City of Enoch (because he can't farm) and conceived many other decedents. There's also claimed that Eve was not the first wife, but Lilith, a woman who was created from the same dirt as Adam. Felt too hot shit for Adam, so she ran away with an arch angel called Samael. In Vampire: The Masquerade however, she teach Cain cool dark magic and shit.
There was also this apocalyptic event where god being a dick or his computer hard drive malfunctioned so it causes sea level suddenly rise to the kind you see in disaster movie like The Day After Tomorrow. He instructs a guy name Noah to build an ark big enough to contain every animals and humans in the world, or just each animal species with their own female and male pairing so that they could reproduce. God even instruct Noah to build the ark with the size he demands: 300 cubits in length, 50 cubits in width and 30 cubits in height (450 × 75 × 45 ft or 137 × 22.9 × 13.7 m), it's almost as if god intended this. The ark is also made out of some probably extinct wood called "Gohper", probably the best kind since the ark has to withstand waves after waves of tsunami for a long time and a tragically, all of them are probably used up just for the ship. After the flood came and everyone is on the ark, they basically float for about 150 days until the water goes down.
Another myth took place in Egypt. There once lives the Hebrew (Jewish) people, the gods chosen (yeah, they are arrogant like that). They were living in peacefully harmony until one day some asshole Pharaoh came and starts to oppress the shit out of them. The Pharaoh hates how the Hebrew breeds like rat so they had every one of their male children to drown in the river of Nile. Noah, our hero of the story survived as an infant and was adopted by Pharaoh's daughter (oh the irony). Moses eventually grow up and learn of god's name Yahweh and tells him to free his people and guide them on an exodus to the promised land. Pharaoh and his army tried to stop them but god basically said fuck you and send ten powerful plague to fucked them over. The plague is so effective that Egypt became a frigging wasteland, but no undead unfortunately. Later, Moses guide his people to close the red sea where he do the iconic sea splitting to make a crossing passage. The Pharaoh and his goons tried to take chase but was once again pwned by the sudden sea crushing them both side when they were on the sea passage(god really hate Egyptian huh?). After traveling with his fellow Heberew, Moses decided to talk to the god on the mountain for sometime and came back with the Ten Commandments, ten rules willed by god and if these rules were crossed, the severity of the punishment will be depend on which rule was broke (Ex. commit heresy like worshiping other gods will be awarded with genocide of the entire cities of man, woman, chidren and animals). Unfortunately, some of his unfaithful followers were slacking off and was worshiping some chaos-looking-brother-fucking-golden-bull-idol and was ordered by Moses to have them execute. Moses and his follower eventually arrived to their promised land, which is, unsurprisingly, modern day Israel! which the Hebrew will remain and fight over with their unfriendly Islamic neighbors for the next eternity or so.
Most notable heroes with lots of media adaptions: Jesus, Samson, David, Moses, Noah.
Most notable villain with lots of media adaptions: Satan/Lucifer/The Devil (may or may not be the same character), Judas Iscariot, Cain (the first murderer).