Michael Moorcock's Eternal Champion cycle (starting w/ Elric of Melniboné) is a classic of this genre --- not sure if available as ebooks or no, but there was a TOR blog posting on the Hawkmoon books being available thusly (w/ colour illustrations) presently.
Dunsany's writings, esp. _The Charwoman's Shadow_ should be available as ebooks.
Lindsay's _A Voyage to Arcturus_ qualifies by some standards and is also available as an ebook.
Gail van Asten's writings are interesting, esp. _The Blind Knight_
William
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