Froslass is actually the Yuki-onna
This strictly female Pokmon is the evolved form of Snorunt, itself based on the Yukinko snow children of Japanese lore. But while the Yukinko are relatively benign, the basis for Froslass is much more sinister: Yuki-onna, a vengeful spirit that also traces to Japanese mythology. This spirit takes form as a beautiful woman hovering above the snow, entrapping her victims with her icy breath or luring them into blizzards from which they never return.
In case you had any doubts that Yuki-onna is not to be trifled with, some accounts say that she consumes the blood of her prey, or lures men to their deaths akin to succubae or mermaid sirens. She doesn't just wander around snowy fields, either--Yuki-onna has been said to invade homes and abduct children. Funnily enough, the murderous Yuki-onna might've also been the inspiration for Jynx as well as Froslass--but the latter definitely captures the icy seductress vibe inherent to the original myth.
Moltres and Ho-oh are actually the phoenix
You know you've started scraping the bottom of the cute monster barrel (wow, that sounded less gross in my head) when you're basing multiple Pokmon off of the same myth from different civilizations. But hey, if they're just different enough to not be noticed, why not, right? Because that's exactly what happened to Moltres and Ho-oh, who are both based on different versions of the same phoenix myth.
Generally, the phoenix is a mythical bird that bursts into flames, dies, then rises from its ashes reborn, not unlike that of Robert Downey, Jr.'s career. Many ancient civilizations had their own version of the same myth. Moltres is more or less inspired by the firebird of Slavic and Russian origin (right down to the fact that the bird is pretty much on fire). Likewise, the Ho-Oh is based more on the Chinese fenghuang myth, and typically only shows up in places of great peace and prosperity. It's also got the head of a pheasant, the body of a duck, the legs of a crane, and the beak of a parrot - it's like the turducken of ancient myths.
Xerneas, Yveltal, and Zygarde are actually Norse demigods
This trio of Legendary Pokmon from the most recent installments are magnificent, to be sure--so magnificent, they've already earned a spot in Asgard's Valhalla. If you've seen any of the Thor movies, you might have an inkling of what we're talking about, but you'd have to be a certified expert on Norse mythology to actually pick up on who and what these Pokmon are actually referencing.
Ready for an onslaught of Norse nomenclature? Xerneas is roughly based on Eikyrnir, an almighty stag which rests atop Valhalla. Yveltal is a toned-down version of Hrsvelgr, a gargantuan eagle who makes the wind blow just by flapping his wings. Lastly, the worm-like Zygarde is the Pokmon version of Nhggr, a serpentine dragon that gnaws at the roots of the Yggdrasil world tree. Try saying those preceding sentences three times fast. And before you ask, Nhggr is also the inspiration for the Nidhogg in the indie fencing game of the same name.
Tornadus, Thundurus, and Landorus are actually the Kami of Shinto religion
Oh come on, Game Freak--you weren't even trying to hide the fact that this a trio of gods! The references are a bit more subtle when these three are in their animalistic Therian forms, but in Incarnate mode, they're practically bashing you over the head with their djinn-like appearance. And while you might've assumed they were just elemental genies, Tornadus, Thundurus, and Landorus are directly analogous to Fujin, Raijin, and Inari, three spirits oft worshipped in the Shinto faith.
Kami is the Japanese word for god, spirit, or deity, who are worshipped by Shinto practitioners for a variety of reasons. But these Pokmon actually occupy multiple cultural mythologies: the Therian forms are all parallels to Four Symbols of Chinese constellations, namely the Vermilion Bird, Azure Dragon, and White Tiger. You know what? We're not sure we're comfortable with the idea of entrapping mythological deities in little orbs so we can carry them around in our pockets.
Gotta believe in 'em all
And of course, Vulpix is based on the nine-tailed fox of Japanese, Chinese, and Korean myth--but everybody knows that. Any myths you think we mythed? Whoops--seems our lisp is acting up again.