If you like older books, I would recommend The Worm Ourobouros by E.R. Eddison and The Well at the World's End by William Morris.
Also don't forget Roger Zelazny's Amber books, Poul Anderson's The Broken Sword, The Last Unicorn by Peter Beagle, Lud-in-the-Mist by Hope Mirlees, The Dream Quest of Unknown Kadath by H.P. Lovecraft, The Blue Star and The Well of the Unicorn by Fletcher Pratt.
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