Take a look at
http://www.glerl.noaa.gov/pubs/photogallery/albums/WaterLife/pages/1034.htm

Drawings:
http://www.cornwallwildlifetrust.org.uk/educate/pondpack/crustacean.htm

Here is a neat movie of them:
http://www.mic-d.com/gallery/moviegallery/pondscum/crustaceans/cyclops/
That pondscum site has a number of interesting aquarium and pond critter in their mini-movies (and one dangerous one in Hydra).

I stumbled on the above while Googling for a Cyclops image. There are some other interesting images in that first collection. By the way Google search for Cyclops species or you get a lot of comic book figures. ;)  If you get the real Cyclops species, you get too many hits too.

As you guessed Peter, the Cyclops probably hitchhiked in with the Daphnia. You also surmised  that they could be a threat to tiny fry (and also fish eggs). As crustaceans who do favor meat and flake foods, though perhaps as scavengers, they do have the claw-ware to do damage to really small fry. At the same time, I don't mind leaving them with guppy fry which are relatively large for fish fry.

You observed the fry not going after the adult Cyclops, but there are also high protein Cyclops nauplii and those are probably much more attractive to your guppies. I would guess that the Cyclops would not attack baby guppies unless the guppies were wounded or very sick.

There are Cyclops and other copepods which can be gill parasites. I don't think you will find those in a backyard culture, though they might come in on new fish. Dewormers or antiparasite stuff (or formulin - yech) will eliminate them from the fish in a quarantine. Chances are that yours are not among the Cyclops you have to be concerned about.

Your observation about filters in also cogent. I think they colonize the bottoms of sponge filters, where shelter, current and oxygen are greater than elsewhere. From that vantage point, they can feed on flake fragments and detritus.

I have had an elderly, single fish die. There are more important things to do sometimes and a single  body in a tank by itself may get left for a while. Several times a startling bloom of Cyclops will appear a couple days after the demise of the fish.

I think you are correct that they will survive in small numbers on tank detritus and the invisible micro-creatures (to us) on plants and in the water column. In fact you can see some of those tiny micro-critters in that down-loadable movie.

They also bear young in good times (like Daphnia AND brine shrimp). When conditions get tougher, they will lay resting eggs or cysts (again like Daphnia and the famous brine shrimp). Those eggs/cysts can withstand dying, freezing and all manner of weather. You can see the two egg masses on the females.

They can be intermediate hosts for fish parasites, including many worms such as Camallanus. They also can do the same for a lot of nasty human diseases and so they get studied a lot by health people. They can also be drawn into public water supplies which is another reason for all the nasty stuff being put in pulic water supplied. They also are used in toxicology studies.

If you are raising them in the back yard and no sick humans or fish have been there, they shouldn't carry any nasties. (That is the advantage of culturing your own live foods.)