I think people tend to get caught up in giant, epic story lines easily without realizing the delight of some smaller scale events can provide. I can't help it but, generally, my favorite parts in any story is the beginning. When you're first stepping foot into a plot, learning about characters and where even a tiny rat is a threat to you.
I really loved Hellsing (and still do!) at the beginning, where simple vampires running around were the biggest threat, and people could hardly deal with them. A focus on horror and less on huge explosions and battles. We don't have to think of anything overly complicated to start things off, instead having some simple stories with vampires, or other creatures, to deal with. Perhaps Hellsing is hiring more mercenaries to replenish their numbers, something that can be used to draw in more PCs. Nothing has to be overly epic at the beginning, just some general bad guy to move things along with.