Okay. Please keep in mind that the details of the campaign are extremely tentative at the moment, but here's some basic background on the setting:
There are countless dimensions spread across the multiverse, filled with everything imaginable. Some dimensions are extremely high in magic; others, in technology. Some dimensions have life very similar to what we consider "human," others have life forms that are almost beyond the imagination. Those who travel the dimensions are known as "Demons" while not in their home dimension.
A few noteworthy dimensions that appear in the series (mentioned here because the natives of these dimensions will likely be offered as PC race choices) :
Klah: Klah is the home dimension of Skeeve (one of the main characters of the Myth series.) It's roughly comparable to medieval Earth--low-tech, with some magic. The natives (known as "Klahds") are, for the most part, unaware of the existence of other dimensions.
Perv: Perv is highly advanced both in magic and technology. The natives are known as "Pervects" or "Perverts" (depending on whether there's one in earshot.) They're green, scaly, and generally highly intimidating. Aahz, Skeeve's mentor, hails from Perv.
Trollia: The natives of Trollia come in two forms. The males, "Trolls,: are huge, ugly, misshapen, and extremely strong; the females, "Trollops," are anything but ugly and misshapen. Chumley and Tananda, a brother-sister team of assassins who are close allies of Aahz and Skeeve, hail from Trollia.
Deva: If the dimensions have a center, it's probably Deva. Deva is extremely inhospitable (so much so that descriptions of it have formed the basis for descriptions of the underworld in certain dimensions.) As a result, the red-skinned, horned, cloven-hooved natives ("Deveels,") have been forced to master the art of trading to obtain the necessities of life. Master it they have. The Deveels are the best traders in all the dimensions, bar none. If you think you've made a good deal with a Deveel, count your money, then your fingers, then your relatives. Over time, their home dimension has become the hub of commerce and trade in the dimensions; the Bazaar at Deva is THE place to go to buy or sell pretty much anything.
Imper: A neighboring dimension to Deva. The natives ("Imps") look somewhat like Deveels, with pink skin and shorter horns. They try to emulate the more skilled Deveels, but with limited success.
Things to keep in mind: The series is a humorous one. That doesn't mean everything in it's a big joke--quite a bit of serious character growth and development happens over the course of the series--but it does mean that this will not be a grim and gritty campaign.
Reading at least the first book of the series, Another Fine Myth, would be extremely helpful to understanding the setting and general tone.