For one thing, the divine stag hunt is a great literature trope, and every D&D player should get to be a part of it at some point. Second, a lot can be done with the idea of a path that's only visible to some people. My blogofholding buddy Rory's campaign world has a desert that can only be crossed with a madman as your guide. I like the fact that, as with Sturm, only a damaged guide can see the path.
What about this for a dungeon: an invisible, branching path across a chasm: only characters who are at half hit points or less (bloodied in 4e) can see the path. Other characters must follow in the footsteps of their wounded allies, or risk falling into the chasm.
Sure, if people are willing to smack themselves with swords, everyone can bloody themselves and pick their way ably along the path. But when they reach the inevitable combat halfway along the bridge, it will be inconvenient to have everyone starting at half hit points. (Maybe the combatants are also invisible except to bloodied PCs?)
PCs might walk by such a path many times and never know it until they happen to get damaged by a dangerous encounter or hazard. Or they may have heard rumors that the Bloody Path only appears for those close to death, and may purposely seek it.
A path or guide might appear only to PCs suffering from other effects besides bloodied. Blind is an obvious one. Immobilized or paralyzed could be interesting. Sleepwalking could be fun.