A core essence in fantasy is how myths, legends, and religions are interwoven within a world. Fantasy RPGs are no different. It's evident in the variety of classes, professions, cultures, etc. that a player can choose from, as well as the monsters present in the world.
Some games and settings are overtly imbued with mythology and religion, none more so than RuneQuest's setting of Glorantha. Staying with Chaosium games, Pendragon ties directly into both aspects of myth and religion, but especially into legends. It's the King Arthur game after all. The world of Harn and game of HarnMaster brilliantly tie the metaphysics of the setting into meaningful choices for players.
In Dungeons & Dragons, and its derivatives, religion is most often displayed via the cleric, paladin, and druid classes. But most modern gamers (and settings) treat these aspects more as a game mechanical add-on rather than a core part of worldbuilding. I consider this a big failure and one that ignores aspects of humanity that truly make a setting feel real. Religion, mythology, legends, folklore, and faith are such core elements of what make up our world throughout history that settings who treat them like an afterthought are less than appealing to me personally.
The purpose of these aspects of a world can be manifold in a TTRPG campaign. Firstly, they create immediate possibilities for adventures. Beasts to slay, artifacts to recover and heroic deeds to emulate. The famous "hero quest" of RuneQuest means that PCs in Glorantha are striving to do exactly (or at least similarly) as the legendary heroes of previous ages had done and thus enter the tales. Norse society was rife with these tales and the culture embraced them and strove to emulate them. In Dungeons & Dragons you're an adventurer, a hero in waiting so to speak. Myths and legends give you the cultural nudge to act like it.
When designing your own setting for D&D or some other game (as I am doing for Swords & Wizardry) legends and myth should play a vital role. The "mythical underground" realms are the easiest pathway to a metaphysical nexus into strange mythological worlds of demons and devils. The same can be true above as it is below. Why can you not climb the highest peaks to enter the realms of demigods and angels? On the island of Harn there is a deep cavernous region that, legend has it, connects to the world of the gods.
Let the gods, who are real in these worlds, seep into the setting in miraculous ways. Be less concerned with tectonic plates and fault lines in your fantasy magic world and maybe think if the "gods did it" or some mythological beast. Not to be overly repetitive, but take inspiration from Glorantha where mountain ranges can be sleeping dragons, hills can be ancient giants, and a lake is fed by a never-ending raincloud.
And if the gods are real then religion is ever-present in a fantasy world. some games make deity choice implicitly important in the magic one can wield (e.g., RuneQuest and HarnMaster). In D&D, I feel that AD&D 2e did this best with the specialty priests dedicated to specific deities who then dictated the spheres of magic the priest could access, along with specific powers associated with that god.
Making the metaphysics of a world important is easy when you're creating a world from scratch, since you control all of these aspects in your design. It's also easy when taking a published setting for your campaign. Since I'm mainly focused on classic TSR-era D&D, you can find the metaphysics in the "generic" medieval fantasy settings of Greyhawk, Forgotten Realms, and Mystara. Even though the materials of the '80s and '90s for Greyhawk never explicitly detailed a creation myth, reading the description of the gods lets you craft it yourself. The same is true for my much loved "Gray Box" set of the Forgotten Realms. The deity descriptions ooze with mythological details that make the world fantastical. What these two setting describe in particular is how the people of the lands interact with the gods, not just the priests. How they pray or give a sacrifice to a specific god ahead of a journey, caravan trip, harvest, battle, etc. That many inns and taverns have the symbol of a god etched on their doorways to protect and bless the establishment. As a GM you should reinforce these key cultural aspects in your descriptions of places and interactions with NPCs. I'd recommend rewarding the PCs for doing the same with small mechanical bonuses (e.g., a +1 to forage for food after sacrificing to Silvanus that day if the weather is particularly bad).
Mystara ("The Known World") and BECMI D&D went even deeper into the metaphysics, mythology, and legends of the setting by eschewing the gods and using their immortals instead. These now divine entities were once mortals who ascended to god-like immortality through their deeds and power. The BECMI (and Rules Cyclopedia) rules clearly detail how a PC might achieve immortality and the trials they must go through to get there. If that doesn't scream lived mythology then nothing does. It's the closest thing to RuneQuest's hero questing that any official D&D edition has ever gotten and it's better for it.
The best modern "D&D"/OSR setting that makes mythology and religion matter with a detailed and well thought out creation myth is the world of Aihrde for Castles & Crusades by Troll Lord Games. Written in a style similar to that of The Silmarillion by J.R.R. Tolkien, the creation story of Aihrde is enthralling and ties directly into every cultural, ethnic, and metaphysical aspect of the setting. The Codex of Aihrde even gives details on how each deity is worshipped and the possible benefits derived from supplication and sacrifice.
I hope I've made a good case as to why you should always incorporate mythology, legends, and religion into your fantasy settings and campaigns. Not only do they make them richer from a mechanical and gaming point of view, but they tie the players closer to the world making it more believable and "real" in their experiences.
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