H.P. Lovecraft's Cthulhu Mythos is a prime example of this, as is the Wold Newton Universe (a family tree that establishes the genealogical connection between centuries' worth of literary heroes). These mythologies are compelling and powerful because of the great sense of size and history they can evoke; creations that are larger than any single person (even their creators) that go on to have a life of their own.
The King in Yellow was a book of short stories written by Robert W. Chambers in the late 19th Century that center around a play (that goes by the same title) which, when read, tends to cause insanity in and chaos around the reader. The king himself is a mysterious figure who never really appears and the snatches of play that Chambers included merely deepen the eeriness. Since the stories were first published, they've inspired writers from Lovecraft to Thomas Ligotti with, if not direct storylines, then certainly a tone and scale of weirdness, and furnished many others writers with characters, details and ideas to flesh out their own tales.
HBO's True Detective is the latest and, perhaps, largest-scale entertainment to make use of this mythology and they are using it to excellent, unsettling effect so far. It also makes for an excellent opportunity to revisit the original.