Jim has done an incredible job of exploring creature of legend, and appears to have examined almost every creature or monster we've heard of since childhood. The stories cover the Faerie Courts, Vampires, Werewolves, Ogres, Trolls, Holy Knights, Demons, Dragons, Outsiders, Fallen Angels and Wizards. The question is if you want to make the world your own, what is left to explore?
One option discussed in the "Alternate Time Periods for Dresden RPGs" thread is move the campaign to anothere time, but how about simply moving it to another City? How about moving it to Tokyo, Hong Kong, Bejing or even Pyongyang. There's a full set of Eastern legends and so far Jim hasn't explored them (much). Why not take them and make them your own for your campaign.
You can use some of the ammunition Jim's given you. Maybe whichever city you've chosen is Ancient Mai's home ground. He's mentioned the Jade Court but we don't know very much about them. You can decide what they are like. As for the NeverNever - presumably this would have a very Oriental feel to it.
Hey presto, you have a Dresden Campaign in a city with a very different feel and a whole new set of legends.
If you don't like that you could try the Middle east. Again you get a whole new set of legends. Maybe now Djinn play a bigger role. There's no shortage of legends from Arabia, Persia, and India. You can fill your campaign with djinni and magic carpets. In this case your source is Islamic legends and of course 'the Thousand and One Nights'.
Or you could look to pretty much any other culture. Maybe South America and Mayan legends, although that might take a little research. Egypt might not be a good choice - you might end up with a campaign that felt like a Dresden / Stagate SG-1 crossover, but almost any Culture you pick will come with a set of creature, legends and myths.
Personally I'm more likely to try a Hong Kong themed version because I've been there, and a I have a huge collection of Jackie Chan and John Woo movies for inspiration. I might steal the ocational Japanese legend and hope my players dont notice, but I'll try to stick to Chinese mythology (and there is more than enough). I'll place Mai far enough away to make sure she's not a majort sticking point, but near enough that she can come when the players mess up (either to clean up their mess, or to act threatening on behalf of the council, depending on what the situation demands). Your mileage may vary. Perhaps you're a fan of the Arabian nights, or like Manga, in which case the Middle East or Japan might suit you better.
The other obvious location is your local town. Unless you live in Chicago you should be able to research what makes your town unique and emphasise this enough to make your setting unique. Unfortuantely for me one of my players is an academic at the local University and a historian. He has a better understanding of the local area than anyone else I know, and has worked virtually every legend about the area into atleast one of his campaigns. I'd feel like I was treading on well covered ground if I tried this technique. I'm going to leave all local stuff to him.
No the question that flows from that is with other cultures as the basis of the stories, should we still be using the Western image of the mage? Magic in other culture comes with its own set of baggage, and it may not be sensible to saddle your campaign with the Western mage image - but If we change that, are we still playing Dresden?