I don't quite know what you mean by "mythology." Most people would probably accept a definition of "myth" along the lines of "a sacred narrative," by which standard pretty much any religion has its own collection of myths. Christianity certainly has its own mythology, for example - the creation myth as presented in Genesis, the ethnogenesis of the Hebrews as the sons of Abraham, the subjugation of the Jews, salvation obtained through Christ's death and resurrection, even visions of the end of the world - and that's without including the vast body of popular beliefs regarding saints, demons and what have you. If you're just asking for examples of mythologies of religions that people (by and large) don't believe in any more, there are thousands on thousands: Norse mythology, Finnish, Celtic, Slavic, Egyptian, Babylonian, Persian, pre-Islamic Arabic, Australian Aborigine, Aztec, Mayan...

Much like ConanofCimmeria here, I'm a bit confused/bothered by your question. The slightly problematic but mostly functional definition that I learned from one of my professors is that most religions are composed of mythology, cult and laws, in other words their story of how the world works, the worshipping rituals, and rules of behavior.

In my opinion a religion turning into a mythology is a bit of an amateurish way to view it, but I guess it's functionally the same thing as a religion dying out. When people say "Greek mythology", what they really mean is "the mythological component of the ancient Greek religion". So basically, any religion that is no longer actively practiced could be an answer for your question. Conan here provided a pretty good list of some of the better known ones.