The occasional basilisk, cockatrice, chimera, etc. popping up here and there would be interesting, and in real-world myth, the presence of such creatures often functioned as, or were a sign of, "divine curses", so GreatWyrmGold's idea could incorporate quite well.
Having such a rare mule as a zoo specimen or guardian-beast would also help a bit with Fortress individuality, which is always nice. Having them be sterile, and thus not allowing a potential breeding program to occur, would also give us room to make these creatures fairly powerful, without breaking the game.
Ofcourse, according to legend the first two critters I've listed could, technically, be manufactured--albeit at great difficulty and cost--by alchemical processes (there's even exact formulae for them), but the components are just as rare, as in: Start with the egg of a rooster, get a toad to hatch it on a dung-hill, and proceed from there. And, as dung is currently a sensitive issue in the game and doesn't really exist, I'd add a stipulation that the dung in question be something exotic, like the fewmets of dragons, or some such.
Some mix-and-match creatures, such as griffons, cabbits, or owlbears, wouldn't occur naturally, but might be bred magically, and it might even be possible to get them to spawn, with atleast a very small chance of success--if only because of their potential usefulness, Rule-of-Fun, and the necessity to breed the griffon itself with a horse, in order to produce a hippogriff. Other, more bizarre/less desireable "chimeric" creatures, such as hippogriffs, hippocampi, hippalectryons, skvaders, ophiotauri, and perytons, might be magically bred, specifically as exotica for zoos and menageries, and with great difficulty, but would be very unlikely to themselves breed true, or at all. And some might be "born" from an alchemist's lab, or a thaumaturge's cauldron, for use as a living tool or weapon (golems, homonculi, the aforementioned basilisk and cockatrice, chimeras themselves and the like)
Still others, such as centaurs, wolpertingers, and enfields, might need to be brought wholely into the world by magic, and could be produced only by powerful creative magic. There's just a ton of degrees and options and paths to choose from. I think it's important to be mindful of game balance, though, when considering interspecies breeding, because it could pretty easily break the game, if it got too out of hand (as such creatures so often do!).
By the by, as a semi-related but admittedly off-topic aside: science (paleontology mainly) has thus far proven the existence of what are very reasonable, and very real, potential sources for the following mythological beings: dragons (Pissarrachampsa sera, a long-legged crocodile), sea-dragons (Predator X/pliosaurus), "sea serpents" (oarfish), humanoid giants and ogres (gigantopithecus blacki, and it's first cousins, G. bilaspurensis, and G. giganteus), humanoid dwarfs (homo floresiensis), cyclopes (there's a rare genetic deformity referred to as "cyclopia"), rocs (Haast's eagle), krakens (colossal squid, which live in areas Vikings ventured into, and which could arguably have quite easily made hash of a small, primitive, boat, and which is still alive and well, by the way), zombies (by way of tetrodotoxin), and unicorns (Rhinoceros tichorhinus). Hydras, although rare, still very arguably exist today, in the form of two-headed snakes (and tortoises, for that matter), and even a two-headed crocodile, a taxidermied example of which resides in the Georgia state capitol, and there's even a extant fossil example from 122 million years ago, of hyphalosaurus, a specifically long-necked freshwater reptile with this condition. Werewolves and vampires ofcourse exist today, as clinical therianthropes and victims of porphyria, and whoever designed and built the Antikythera mechanism must have been scarily close to a wizard--the best guess is Archimedes, the Nicola Tesla of antiquity (they were both engaged in developing computer programs, long before physical computers as we think of them ever existed, both were utterly fascinated with spheres, and both are claimed to have created a death-ray, for example), and indeed even today he's still viewed as something of a traditional sorceror/boogeyman figure in Rhodes.