Of course, there's also the approach the Zane movie took, treating the Phantom as an already-extant hero and having another viewpoint character learn about him.
I'm fond of that technique myself. Larger-than-life pulp heroes are often more impressive when viewed from the POV of an awestruck observer.
What's more evocative: getting into the Phantom's head, or seeing him appear mysteriously from the jungle!
"Oh my God. Who is that?"
"He is the Ghost Who Walks . . . ."