Lingchih: You're allowed to do whatever you like with the free Gutenberg ebooks, even publish them for sale, so feel free to print them out if you want
Although I'd personally prefer you do so on recycled paper, or best quality rag paper for that matter, treehugger that I am.
Should I ever retire with enough money to do so, I might decide, as a part time business, to publish some handmade Gutenberg editions for sale.
I'm currently reading the Worm Ouroboris, which is another classic. It's not on Gutenberg, but it can be found here:
http://www.sacred-texts.com/ring/two/index.htm
I have no idea how "free" it is, though, so you may want to research the site before you print out a copy.
Here's the complete works of H.P. Lovecraft on a different site: Again, I've no idea of it's copyright availability, but his work is generally considered to be in the Public Domain. It also includes links to works by Poe and others, as well as the complete texts of Dracula and Frankenstein, the Picture of Dorian Gray, Dr Jekyll and Mr Hyde, and the Phantom of the Opera.
http://www.dagonbytes.com/thelibrary/lovecraft/
And, just to round it out, here's a link to the Baen free library, which contains numerous more modern fantasy and sci-fi titles.
http://www.baen.com/library/
I wasn't able to locate a copy of the King of Elfland's Daughter online.
Here's a book by William Morris that might be of interest to us Dominions fans: There's a link to the Gutenberg text at the bottom of the page.
http://en.wikipedia.org/wiki/The_House_of_the_Wolfings
This link is to as complete a collection of the works of William Morris that I could find online:
http://www.marxists.org/archive/morris/works/index.htm
and to Shakespeare-and certainly, he wrote some fine fantasies:
http://shakespeare.mit.edu/
As far as Moorcock goes, I consider him to be the most important author of fantasy after Tolkien-and far, far more relevant. Here's a fun little essay of his called "Epic Pooh" that lays out extremely well my own viewpoint on fantasy-which is that fantasy, myth, the spirit, our soul and our beliefs are an integral part of who we are at every age, in every situation.
http://www.revolutionsf.com/article.php?id=953
You'll note that he's kind enough to introduce us to quite a diverse group of well known, and lesser known, fantasy authors-which he makes a good case for being better writers than J.R.R. Tolkien and C.S. Lewis.
I hope you enjoy!