Thanks for the welcome back!
You put your finger on it exactly. When you played Myth, you had never heard of Alric or Soulblighter or The Deceiver, so they all sounded delightfully mysterious. In Myth II Alric was a hero, Soulblighter and Shiver were Fallen Lords (and we had already killed one of them) and there wasn't a real driving evil of Leveller proportions. Personally, I'd play Myth XII if it still maintained half of the story value that Myth had.
Some levels I found particularly suspenseful;
1. Battle of Madrigal (3rd level, it doesn't sound right)
2. Flight from Covenant
3. Heart of the Stone
4. The Road North
5. Across the Gjol (and the best level ever)
6. The Last Battle
And in Myth II
1. Gonen's Bridge
See what I mean? There are probably one or two other Myth II levels but that is about it. Third party levels have created a similar feel, but without an entire series of levels before them, they can't hope to be as good. Ones that spring to mind are the CoD series (particularly Source of the 500 Poisons), Morte Della Luna and to a lesser extent, Under Myrkridian Standards. Anyone else out there have an opinion?