I use the Mythos and its entities rarely, but when they appear, it will always be a memorable and deadly encounter. I do not even put them in the way of PCs - the "non-Euclidean" places are always off the beaten path.
Thus far, the party has come into contact with the Mythos twice:
-at the first time, they were looking around some really old ruins with serpentine motifs and eery, green stones. They found a well hidden trapdoor under a layer of earth, and they proceeded to dig it up, hoping for treasure. What they found was a shaft down to a forgotten Serpent Man shrine dedicated to the god Yig. There was a huge statue of a coiled serpent with large gem eyes (and a crystal dagger before the statue), plus two serpent man statues blocking the path, with raised crystal swords. After a lot of detecting magic and arguing, a party member volunteered to procure the eyes and the dagger. Alas, two Prismatic Sprays from the crystal swords left him insane, petrified and burnt to a crisp!
Not deterred by this minor annoyance, the party toppled both statues and smashed their swords. Then, the Thief stepped forth to claim the prize, but he instantly fell under the hypnotic gaze of the large serpent statue and was possessed by the Intelligent Crystal dagger! His companions had to flee in haste to avoid being killed by him!
A successful evening, if I say so myself.
-the second time (a lot of time later), the party was exploring an abandoned quarry and just happened on a ritual to summon the elder god Cthon (think of a larger than average Cthonian). This time, they were wise enough to leave the assembled spectres and wraiths be and beat a hasty retreat, except for the gnome illusionist/tech smith (who sent in his mechanical servant to see what happens) and the curious-stupid orc barbarian. The mechanical servant fell into a deep, bottomless pit, and the gnome fled as well. As for the barbarian, he stood cluelessly. When Cthon emerged in his full glory, he instantly went insane from the Cosmic Terror and with a shriek, disappeared among the writhing tentacles of the God-Beast!

The rest of the party was safe, although they lost a pack mule laden with riches and loot.