The best thing I ever did was have an erinyes marry the father of one of the PCs. They had annoyed her during a trip to the outer planes, so she took the time to divine who they were and where they were from. While the PCs were off adventuring she traveled to their prime, met and charmed a PC's noble father while in human disguise, and settled into the role of step-monster. She amused herself by secretly gambling with local ne'er-do-wells, financing their losses, and having them sign a contract that was full of fine print. It stated that if they couldn't pay the debt when it was called in, they'd have to pay with commensurate assets. . . i.e., their souls.
This was absolutely worth it when the PCs returned, and the son was introduced to his new step-monster... err, step-mother. "We're turning your room into a nursery for our new baby!" he was told. And when they figured out she was a fiend, she was happy to explain the facts of life to them:
1. She could teleport on a whim anywhere she chose to.
2. Consorting with fiends was illegal in this country. By law, anyone caught consorting with fiends would be executed and their estate given to the crown.
3. The 'heroes' certainly couldn't kill her in one round. . . and if they were idiot enough to attack her, she'd simply teleport in front of the king and explain that the PC's father was gleefully rutting with a fiend. She'd then return to Hell with the gamblers' soul-contracts intact, and the PC would lose everything he cared about.
Then she patted them on the head, made tut-tut noises, and said that she'd enjoy being a new mother, since there was really nothing that the PCs could do about her unless they wanted to destroy the one hero's inheritance and doom more than a dozen gamblers to eternal damnation.
The players were sort of at a loss; this was 2e, before any spells that inhibit teleportation, so they had a real problem on their hands. They ended up resolving it through some very clever and heroic sneakiness, but the LG member of the group reported the situation to the king anyways, resulting in an execution and the loss of the estate. It was a bittersweet ending.