The gwyllgi is an interesting character. It is a huge black dog that resembles a Mastiff and haunts roads at night to scare travellers. Almost every source I find has that much information and maybe a little something else. From looking at various sources I have found that it is also called The Dog of Darkness, Mauthe Doog, and Barghest. There are a lot of black dog creatures in Europe and North Europe. The Gwyllgi is the one found in Wales. I found a whole web site devoted to the black dog phenomena, but I won't go through it now. I'm only interested in the gwylli today.
As I continued to search, I found most sources say that when people went back in the day time to see evidence of what they saw, nothing was there. One source that stated when someone saw the black dog their death was imminent. That started me thinking about Harry Potter - remember book three with The Grim?
To drive things home and make it truly interesting to me, I found a "see also" reference to another type of giant dog similar to the gwyllgi - Padfoot, the nickname of the black dog "haunting" Harry at the time. So I know that nothing in those books are accidental, but it is still fun to find where the lesser known allusions come from.
To link this to Greek mythology, you have a similar idea, not with a dog, but with Pan. The god was known to hide in the woods near roads and make noises to scare travellers, which is where we get the word, "panic."