Among the elder civilizations, the Greeks had quite a few myths concerning the stars. It is a testament to the power of those legends that, millennia later, we still use the names the Greeks gave to the constellations: Pegasus, Cassiopeia, Orion, Leo, Taurus, Cancer, the Hydra, and a dozen others. Those names in a large part represent the mythology of ancient Greece; the Greeks embedded the tales of their heroes, demons, and creators in the skies for all the world to see and remember.
The Greeks gave credit for the stars (like they did with practically everything) to their collection of gods. Whenever a particularly dashing young hero went on a quest, fought monsters, braved perils, survived treachery, and won the girl and the kingdom, they were all hung in the sky by Zeus, the king of the gods, as a reminder to the people of the reward for brave deeds...and the punishment for evil ones.
Take, for example, the myth of Perseus. One of the many illegitimate sons of Zeus and a mortal woman, Perseus was a bold, stalwart lad who got off to a shaky start but wound up a hero. Perseus's mother, Danae, was the daughter of a king named Acrisius. After being informed by a soothsayer that Perseus would one day kill him, Acrisius set his daughter and her child out to sea, presumably to die. Polydectes, the king of the nearby land of Seriphus, took the woman and the boy in. A few years later, Polydectes fell in love with Danae and would have forcibly married her, but Perseus proved to be too diligent a guardian. So Polydectes sent the young man off on a quest to bring back the head of the Gorgon, Medusa, whose gaze could turn living creatures to stone. Polydectes was sure that Perseus would be killed, but Perseus's father was watching over him and the goddesses Hermes and Athena aided him.
Perseus went to see Medusa's three sisters, the Gray Ones, old women with only one eye and one tooth that they shared between them. Perseus stole the eye and the tooth and used them to secure the Gray Ones' help. They told him how to obtain a hero's shopping list of world-saving equipment: a pair of winged sandals, a magic satchel to carry Medusa's head in, and the cap of Hades, the god of the underworld, which granted invisibility to the wearer. Thus equipped, Perseus stole up to Medusa unseen, looking at her reflection in his shield so he wouldn't be turned to stone. He cut off her head and put it in the satchel.
That head came in handy for Perseus. Flying by Ethiopia on his way home, he saw the beautiful maiden Andromeda chained to a sacrificial rock near the sea. As it happened, Andromeda's mother, Queen Cassiopeia, had boasted that Andromeda was even more beautiful than the Nereids, the sea-nymphs. The Nereids had complained about this to Poseidon and Poseidon had sent a sea monster to eat Cassiopeia's kingdom. King Cepheus had consulted an oracle and found that the only way to save his kingdom was to sacrifice his daughter to the leviathan, so he'd had the girl chained up accordingly.
Perseus fell in love with Andromeda on the spot and struck a deal with Cepheus: Perseus could have Andromeda's hand in marriage if he defeated said sea monster. Cepheus agreed, and after Perseus froze the monster in place with Medusa's head, the wedding feast began. During that feast Perseus also stoned one of Andromeda's old suitors, Phineus, along with all his friends (once again with the aid of the Gorgon's noggin). After the wedding Perseus and Andromeda went back to Seriphus to see Danae. Perseus discovered that the lecherous old king Polydectes was still coming after his mother, so he turned him to stone, too. After that Perseus gave up his winged sandals and his magic satchel and that ubiquitous Gorgon's head, and he and Andromeda lived happily ever after.
Zeus must've been impressed with Perseus's daring and his tale as a whole, because he hung Perseus, Andromeda, Cassiopeia and Cepheus in the sky as constellations after they died. All of them sit in a group just above and to the left of the constellation Pegasus, the flying horse, also of Greek mythology. (Some versions of the above tale have Perseus taming Pegasus and riding him around the sky instead of using winged sandals.) Cassiopeia, however, punished for her vanity, is oriented such that for part of the year she is inverted, her head hanging downward in penance.
This tale is one of many. Orion the Hunter went on quest after quest, some of them not as noble as that of Perseus, until finally he was stung on the heel by a giant scorpion and died. Both Orion and the scorpion are now suspended in the night skies as two of the most recognizable constellations. They sit across the sky from one another, and when Scorpio begins to rise, Orion totters and falls beneath the horizon. Castor and Polydeuces were twin brothers, sons of Zeus. Castor was mortal and Polydeuces was immortal. When Castor was killed, Polydeuces missed him so much that he asked Zeus if he could give Castor half his immortality. Zeus agreed, and the brothers spent half their time on Mount Olympus with the other immortals, and half their time in Hades with the mortal dead. Today they are affixed in the sky as the constellation Gemini.
Loving twins and fantastic creatures, noble heroes and arrogant monarchs...nearly the entire Greek pantheon fills our skies. The mortals and monsters are sculpted from the stars; even the gods themselves were immortalized forever in the names given to the planets. The Greeks ensured that their myths and tall tales would not soon be lost when they vouchsafed them to the timeless lights in the heavens.