From what I've read about Myth, the rules are bit rough and it takes some significant game time to figure it all out. If you have the patience for that, then go for it, but be aware of what you're getting into.
If you're looking for a co-op experience, something like Descent: Journeys in the Dark (Second Edition)
with the new co-op campaign app might better suite you. There's also Arcadia Quest
if you want some competitive play.
I haven't really found a game yet that quite meets what I think you're looking for, though there are a couple due out this fall that might fit the bill. I'm taking the wait and see approach and let others play them and post reviews before I jump in. Miniature heavy games tend to be expensive!