Grieg shouldn't be forgotten, with his beautiful melodies and harmonies
Aside from the piano music and Peer Gynt, Grieg also wrote some beautiful songs which are full of mythology.
For example, "The Mountain Thrall" (Bergtekne)
recounts the story of a man who is lured into the woods by some sort of female supernatural creatures (depending on the translation, either "the daughters of the mountain", "elven maidens", "trolls"...). As he dances with them, he realizes that he'll never be able to really feel at home, but now that he's lured into the woods, he'll never escape, and is forced to wander forever. He wrote a version for voice and piano, in addition to the original for voice, two horns, and string orchestra.
Another fantastic song cycle is Grieg's "Mountain Maiden" (Haugtussa)
, which is also full of magical creatures and events. Grieg actually wanted to write a Haugtussa opera, but it never worked out for a variety of reasons.
Another amazing song by Grieg is "By a Southern Convent", for alto and soprano singers, choir, and full orchestra -- I don't know if Grieg made a version for piano instead of orchestra. But either way, you should listen to it.
There are two singers. The alto knocks on the door of a convent, demanding to be let in; the soprano (head of the convent) keeps asking her for more information about who she is. Eventually, the alto reveals that she had witnessed her father being murdered by the man who raped her, but then she fell in love with her rapist, and now, guilt-ridden, she seeks repentance. As I recall, that's also based on a legend.
Lastly, here's a brief, interesting essay about Grieg's depictions of supernatural creatures: http://www.griegsociety.org/default.asp?kat=1037&id=4970&sp=1