I wouldn't consider them mythological as within the TES universe they are very much real and outside of it are unique to the franchise.Spriggans. Even though they're from Skyrim, they're still mythological. ;)
Anubis, Chimera, Sphinx, and Ouroboros are my favourites. Anubs definitely tops it for me, though. Bastet is also cool; I like my Egyptian Gods.. though I don't know if I can technically place them under mythology.. after all, it was once a religion, wasn't it?
Ok so this question again what's your favorite Mythological Creature? I like Dragons, Unicorns, And Griffins.