Hi there Sophie
Lords and Ladies is full of Celtic myth references with the Queen of the Fairies and the Long Man (as is I Shall Wear Midnight) drawing on British folklore. Small Gods too has some recycled and satirised biblical parallels like pious old ladies in parables and the fate of prophets and hermits (St. Ungulant?). Unseen Academicals has references to harpies (The Little Sisters of Perpetual Motion? who follow Nutt) and there's a Medusa from Pseudopolis in the Watch briefly referred to in Snuff is it?
There must be loads more with the Four Horsemen of the Apocralypse cropping up several times with Death in tow and the terracotta army (in legend form) in Interesting Times - lots of things to cherry pick