KM, have you had any issues having to pick up new PCs like that? (I'm assuming they don't all start at 1st level - maybe I'm wrong in making that assumption.)
Nah, we have everyone always at the same level. We've had some treasure-distribution weirdness (since new characters come with different and often customized stuff, while old characters have more GP and random stuff) that I've been thinking of a way to solve (inherent bonuses?) but that's really the only complication.
The game is really "episodic." Each month is a new, largely self-contained adventure by a different DM. It might have some tenuous ties to what came before (and we're kind of assuming it's set in the same world, in the same general region), but they don't have a whole lot to do with each other. So when a new character comes in, it's at the beginning of something new, rather than in the middle of anything. We've got an off-screen "Adventurer's Guild" as a plot device, who can assign us missions and then the characters it assigns missions to are those that we happen to be playing in this instance.
It's actually really, really convenient, and I am very much enjoying playing like this, just 'cuz I get to try out so much stuff, and get to play in so many different kinds of adventures.
Also, tell us more about Nyx, please, and an actual play report would be nice if you have the time/inclination - I'm hoping to run a town-based adventure soon with Dagon-worshipping prophets of doom, and ideas (even superficially unrelated ideas) would be helpful.
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The adventure focused on an isolated farming village that the PC's arrived "too late to save," the priestess they were supposed to be contacting already dead, along with, apparently, the whole town. The town was covered in sticky strands of silk like a light dusting of snow. After getting glimpses of what might have caused the disaster, they were "apprehended" by a gang of children, lead by a self-important, egotistical, 16 year old girl who has appointed herself queen of the land. The girl, it turns out, was serving under the priestess they were supposed to contact. There was also rumored to be an older boy that she would listen to, who had run into the forest in protest of her rule (and to save his little sister from the pernicious fey that had appeared there).
The party tracked down the boy. The boy wanted their help to destroy the fey that had kidnapped his little sister (and many of the young folk of the town), a creature known as The Piper, based off of a vicious child-eating take on the Pied Piper. In battling the Piper, they also discovered the origins of the strands of silk: he was aided by moths that caused nightmares and hallucinations, whose wings could slice like blades.
The party explored some ruins below the farming village's temple (a temple of Sehanine the Moon Goddess) where the girl had apparently gone just before the night took all of the parents in town. They discovered there a ritual designed to summon a primordial that she had unwittingly performed, in an effort to protect herself from her abusive father. It had made the moths appear, and had also caused an un-ending night to fall over the town.
With the boy's help, they convinced the girl that she had made a mistake, and so, to make it right, she sacrificed herself, giving them a pathway to the citadel in the sky, where they could slay the primordial. The pathway was formed of strands of sticky silk, and, on the way up, they had to battle moths while suspended in midair. At the pinnacle, they entered the castle, and confronted the Primordial. They managed to drive her off long enough to release the place where she had stored all of the town's good feelings and emotions that she had stolen: in a cocoon, embodied in a golden butterfly of prismatic glory.
I created Nyx as the "Primordial Night," the darkness into which the world was created, the fear of the darkness that lurks in every child, the Thing Under The Bed, the Un-Mother, a perverse Dark Queen who every being knew to instinctively fear, because she was the first primordial who was defeated in the wars, and the oldest, and the one who could never truly be eradicated, because she was there whenever you closed your eyes or had a nightmare. The moths pulled her chariot into the world via a girl who only wanted to be protected, and wound up making the whole world more exposed than it was before.
Stats-wise, I used Purple Dragons for the moths, and a re-skin of Shar for Nyx herself. I also used something else to re-skin the Piper (some fey with some charming powers) but I've since forgotten it. It was one of my earlier DMing attempts, so it sort of suffered from extended grind, in part because I used a lot of Elites and Solos. But one of the great things about the round-robin is that you get to see how other DM's address the problem. One of them decided to use mostly lower-level foes. Another runs mostly from modules, which tend to keep the combat variety high. A third had an actual traditional "dungeon" where encounters were keyed to rooms, and resting was up to us. I'm thinking that for future Big Battles I might go with more of a "skill challenge combat" style, where, in order to actually fight the enemy, you need to perform various skill checks. Rather than inflating HP or AC or anything, you instead have to get 5 successes (or something) before you can actually injure it, and once you injure it, maybe it goes down quite a bit faster.
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Not sure how much that helps your Dagon idea, but I'd say try to keep the party isolated. My PC's were the only adults within miles that weren't dead, far away from any other town, and some were suffering from a disease I had introduced earlier (the Piper's minions were wererats, so I afflicted them with Filth Fever -- though I wouldn't recommend 4e's disease rules necessarily). I think it helped them feel far away from anything that could help them, very apart from the world. This makes the game a little creepier, since the PC's know it depends on them and only them. If they fail, no one else is going to come and save them. No one will even know they have failed for months. The world would have this cancer growing stronger the entire time.
Hope that helps!