In the Hermetic tradition mermaids are known as Undines. They are connected to the water element and have a magnetic quality. One magician who works with Undines a great deal and has chosen to write about it in public is Bill Mistele, who works out of Hawaii. Here is some of his work on Undines:
http://shell.lava.net/~pagios/undine.html
... and he has also done a book I believe, you can find it somewhere on lulu.com
In Hermetics, since the time of Paracelsus, there have been four major elemental races that magicians work with: the Undines (water) Gnomes (earth) Sylphs (air) and Salamanders (fire). These are real beings but they don't take physical form and you need astral senses to see them. They exist in their own realms which you can learn to visit.
These are not the only legendary creatures out there however. There are many other elemental beings. In a ninja lineage I worked with for a time, they have a relationship with a race called the Tengu who teach them sword skills.
There's a great book by Tanis Hellawell called 'Summer with the Leprechaun' that's a wonderful jaunt into the rich world of Irish elemental culture, and another by John Matthews called 'The Sidhe' which I plan to read next month. There are other books on the fairy races that have been written by those who visited them -- ask me for more details if you like.
As for mythical creatures, there is a wonderful encounter with a heroic astral dog in Waldo Vieira's excellent recent Astral Travel book: "Projections of the Consciousness."
I believe dragons probably still do exist but it's only a belief. I know of no-one who has actually encountered one. If I did they would be more likely to be Chinese than Western, as we Westerners haven't always treated dragons too well recently, whereas in China they have honoured them consistently.
I haven't encountered any of these beings myself, yet anyhow, but I'm reporting from reliable witnesses.
j