Shadow Dragons: it's said that the "real" dragons that inhabited the city all died a long, long time ago. But there's a faction that claims to serve them (although no one ever sees these masters) and there are some old ruins where a lot of people go missing and there are always rumors of dragons there. Specifically, these are more dragon-ghosts than real dragons... psychic entities of great power but little substance. They remain very dangerous, but only to those who have become vulnerable to them for some reason.
The Warlord: there's a mighty warrior who keeps the peace in a particular part of Menagerie. He's basically modelled off of the Nameless One from Planescape: Torment, after the adventure was over. He's supernaturally strong and tough and covered in ancient scars. He appears to be effectively immortal and has kept the area secure for more than a century. He's not a god, though, and occasionally he leaves the area in the charge of his subordinates and followers, most of whom aren't nearly as powerful as he is.