Back in FE Beta I encountered a quest which spawned golems (scrap, I think - one of the kinds that's moderately tough in the early-mid game at any rate) everywhere in my empire. Caused utter chaos. As you say, opening the gate in the Master Quest releases demons everywhere, and as Glazunov1 says, some of the wildlands will launch invasions against you. I have seen it with the desert one for sure - endless numbers of wildlings and naja pouring out, which does look very epic indeed.
If you see the wildlands-faction monsters ambling around the map, it usually means that they're on the move and things could get messy for nearby settlements. This usually means there are usually a lot more nearby, although I have seen Imperium and Scrapyard monsters wander off a long way from home just because.
There's also Ongr, who's kind of like a one-man invasion, and has spawned in every LH game I have played so far.
EDIT: Oh wow, since posting this I have had one event which spawned weak darkling mobs scattered across the map, along with a quest location and a party of adventurers whose fault it was, and then a later one which spawned six-strong units of skeleton warriors everywhere. After a few turns they started mobbing up and attacking my settlements. There's now a stack of four heading for my main fortress, but I have a secret, insanely destrucive weapon of my own...
