I'm not a FfH expert by any means, but I'll just suggest an idea that's been bouncing around in my head. There's a few different aspects of it that you may or may not see as particularly useful, so I'll separate them out.
Part 1-
At game start, a few linked magic items (probably four or five) spawn scattered around the world. These items would be named for the components of a set of combat gear, like Helm of Might, Mail of Might, Greaves of Might, Blade of Might, that sort of thing.
As I imagine it, this equipment would utilize the equip/unequip system mentioned above (I think it's a good system for all magic items, if you can implement it), and would provide quite powerful bonuses to a particular unit, perhaps based on whatever piece of equipment it is (so the Helm might grant +150% XP, or the Greaves might add a couple of movement points, that sort of thing).
Part 2-
This is where it gets interesting. This equipment would be "linked," in such a way as to provide big benefits to a unit that has more than one equipped. Now, I don't know if you would want there to be a big bonus for having two or three of the equipment pieces at once (so having the Helm and Greaves would provide a third bonus quite apart from +150 XP and a couple of extra movement points), but I think that having them all should give an additional bonus.
Perhaps this bonus could be akin to the ability that heroes have to respawn at the capital (with all the equipment), maybe it could add an additional ability (summoning dragons, teleportation, an armageddon ability, etc.), or it could even enhance the abilities that the equipment already gives (+300% XP, +4 movement points, etc.). In any case, one would have to travel all over the world to gather all of these equipments, so they should be rewarded accordingly.
Part 3-
This feature I'm a little bit less sure about, but you might be able to make use of it. It seems silly that such incredible might can change hands with such small fanfare as the outcome of a fight, so maybe more apocalyptic consequences could happen when the wielder of these legendary equipments is defeated.
If destruction of the surrounding landscape was to accompany the defeat of an equipment wielder, it would probably be scaled to the amount of equipments that the unit was wielding. The amount and type of destruction, of course, is up to you, but I just thought this aspect might be worth considering.
Part 4-
It might be a good idea to scale the amount of these equipments to either the size of the map or the number of players on the map. Of course, the criteria for having a "complete set" would be just having all of the pieces on the map, not having an absolute amount of pieces. I'd think that it would be safe to have there be either one piece of equipment for each player, or to have there be as many pieces of equipment as the default number of players for a map size.
You might also want to consider having the equipments located quite close to the capital cities of the players, should the number of players equal the number of equipment pieces. Of course, as this mod is based on exploration and adventures outside the borders of civilization, you might also consider placing them quite far away, or even in inhospitable terrain, with guard creatures perhaps.
Part 5-
Some might consider this last point a minor one, but I think it may have quite an impact on the game. How should this equipment be revealed? Furthermore, how should it be collected? On one hand, you could have the pieces be visible and collectable from the start, which would lead to the first Civ that finds the item generally owning it. However, it might be interesting to make it different.
You would have to decide if one technology would make all of the equipment visible (which might mean that they should all be of roughly equal power), or if different techs revealed different equipments (which would mean that some could be more advanced than others). You would also have to decide whether the equipments could be collected as soon as they were visible, or if they could only be collected after researching a second tech. Also, you might want to make it so that a worker would have to build a specific improvement on top of the equipment to obtain it (which would mean that the Civ might have to expand a bit to obtain it, and would also help ensure that no single Civ gets too many too early).
I know this is a lot of text to read, but please consider these ideas, and please also leave feedback. I look forward to getting replies!
