1. Don't use overused structures.
(I.E. A long time ago there was a huge war and everyone died, except my character. Now he...blah blah.)
2. Make them original. I would rather read about someone born on a farm who learned to fight against sheep, then some war torn battle hero. Ive heard of these way too many times now.
3. Don't be vauge. Use description in your history, or anything else for that matter. A history that doesn't explain much about someone's past is then, rather dull and makes for an unintersting read.
4. Don't go against mythical lore. I have seen this many times. Kitsunes that live only fifteen years yet are nine-tailed. That is not how it works. Kitsune lore states that a kitsune gains another tail every thousand years that it lives. There are also other things that I have seen, so my tip is that if you don't know the specifics of a race, don't use that race. You don't want to seem like an idiot, do you?
5. Don't be god-like. Unless your mythical character's power includes immortality, I suggest that you don't make them immortal or overpowered with a large amount of attacking and defensive abilities.