Any heavy metal that deals heavily with fantasy and, to a lesser extent, sci-fi as a thematic and lyrical device. Blind Guardian is perhaps the premier Heavy Mythril group, having an entire album devoted to the Silmarillion and other songs referencing everything from Peter Pan to Stephen King's Dark Tower series. Other such bands include Manowar, Rhapsody, Demons and Wizards, Hammerfall... in fact, a large percentage of powermetal bands fall under this category. Even Led Zeppelin touched on Heavy Mythril, name dropping Gollum and Mordor in their song "Ramble On". The video game Brutal Legend is an example of Heavy Mythril codified and used as a backdrop for a work. Lastly, the name is also used for a D&D campaign setting created by 4chan's /tg/, where the gods are replaced by metal bands.
Yeah, Helloween is awesome, but sometimes you just need to unwind with some good Swedish Heavy Mythril, know what I mean?