Imajica by Clive Barker
Weaveworld by Clive Barker
The Thief of Always by Clive Barker (Clive Barker reminds me somewhat of Neil Gaiman when he's writing dark fantasy rather than outright horror)
The Worm Ourobouros by E.R.R. Eddison (once you get used to the faux-Elizabethan language)
The Last Unicorn by Peter Beagle
Eyes of the Dragon by Stephen King
The Forgotten Beasts of Eld by Patricia A. McKillip
The Once and Future King by T.H. White
Jonathan Strange and Mr. Norrell by Suzanna Clarke (though come to think of it, she left it open for a sequel)
Little, Big by John Crowley
The Face in the Frost by John Bellairs
Lud-in-the-Mist by Helen Hope Mirrlees
Swordspoint by Ellen Kushner
The Well at the World's End by William Morris (the Ballantine paperbacks were split into two volumes but really it's one book)
Red Moon and Black Mountain by Joy Chant
The Broken Sword by Poul Anderson
The Well of the Unicorn by Fletcher Pratt
The Blue Star by Fletcher Pratt
Lilith by George MacDonald
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