As you might know, most (all?) of SMT/Persona demons are from somewhere. It's actually a pretty cool idea - the creatures may be familiar but Atlus can give them their own spin.
And mythology in general. Really, the only religious figures I can think of that they never put in a SMT game are ones who are (purportedly) actual people -- Jesus, Mary, Zoroaster, Buddha, etc. Otherwise, it's open season. Although in later games they've pumped the brakes a little on having the God of Abraham as the final boss and such.
You might recognize this guy: http://i.imgur.com/tonkSbq.jpg