I have cinnabar in my mod, with some reactions, but as far as actual refined mercury goes, I don't think I'd do anything with it atleast until we get a good poison system.
Mercury poisoning is a really horrific thing, from my understanding.
As far as a creature you can "build into", I wasn't really suggesting that you'd actually be able to build inside of it, or do much with it, I would just make it a mystery cavern, more thematic than anything, with the addition that, if you *did* try to build into it, you could very well set off a cataclysmic earthquake. Possibly (for the Farscape fans out there), it could be a bit like a Budong, possibly containing rare and valuable-even magical-gems--which would have to be pried from the walls really, REALLY, carefully, or you'd risk annihilating a large section of your fortress. So you might need not only a good miner, but the miner in question might need an additional skill, like lots of gemcutting, in order to have a good chance of safely extracting such a gem.
Even *entering* such a cavern could be dangerous, which means not only would your dwarfs have to be careful, you might have to guard it somehow, just to prevent other critters from entering.
Or, it might just be a big, unexplained, flesh-cavern. What's wrong with that?
If you're considering something that locks/unlocks doors mischieviously, it's a good idea, but I do worry about the kind of stress/frustration that kind of thing might inflict on us players, and I think it would have to be handled carefully.
I know I'd personally be adverse to having any being in the game that directly countermanded an order I took the time to implement. Maybe such a being could instead hassel your dwarfs in a more abstract way? Like, it could lock a door, requiring a dwarf to waste time unlocking it, but it would just delay *that dwarf*--whichever dwarf were to attempt to open that particular door, next. It wouldn't change the status of that door, as far as player orders were concerned.
Which also means that the door's status would be affected, until corrected, irregardless of what the player did. Which is actually a good thing in that it adds potency to the creature's ability, rather than simply adding directly to micromanagement.