Hermes was stated to be the patron god of thieves, and true enough, Nami, Arsene Lupin III, and Carmen Sandiego all appear in his video. What do they all have in common? Being world-famous thieves, of course!
Also related to Hermes, he was known for being one of the fastest among the Greek Gods, and his song is a remix of Running in the 90's. The Eurobeat genre has come to be associated with speed thanks to Initial D popularizing it with its races in the anime.
Sun Wukong's song takes a lot of elements from anime openings. Makes perfect sense once you remember Journey to the West inspired Dragon Ball in the first place, and Dragon Ball is considered to be the most influential anime in the modern age. In a way, then, modern anime owes a lot to Sun Wukong!
