I would recommend John Collier's collection of short stories
Fancies and Goodnights which won the International Fantasy Award in 1952. Colliers short stories are often humorous and often contain fantastic charaters and devices, such as angels, demons, djinn, gorilla authors, mannequins, and matinée idol fleas. Most are told with a satiric wit.
There are a few stories that aren't fantasy and some of these were produced as episodes of
Alfred Hitchcock Presents. The best known story is the much anthologized
Evening Primrose which was made into a musical for TV by Stephen Sondheim.
A word of warning, some editions contain fewer stories than others. The one I have has around 50.
If you'd rather read a novel than a collection of short stories, I would recommend
Lud-in-the-Mist by Hope Mirrlees.
http://www.sfsite.com/fsf/1999/cur9907.htm