If you're interested in some fun reading that ties in various mythos, then I would recommend Jim Butcher's
Dresden Files.
A few things:
1) There was a short lived TV series, but it really doesn't do the books justice.
2) The books (and short stories) are chronological, so you will want to start at the beginning.
3) The first book was originally conceived in a writing class, so his writing was still kind of raw, but it improved as he found his style.
4) If you read the first, liked it, and want to read the rest then pick of Side Jobs, a collection of the short stories that prefaces each of those stories with where they fit into the chronology.