Since a few people have mentioned old authors, I'd like to point out a collection called
Tales before Tolkien, which is, well, a bunch of stories written before the big T cast his Dark Shadow over the genre. (I don't really mind Tolkien, but reading
TbT will make it really clear how much he changed fantasy.)
Folks might also like Lord Dunsany, one of the earliest fantasy authors. He influenced Jack Vance, who's already been mentioned. Many of Dunsany's stories are very short -- only a few pages -- but the writing is so good as to suggest huge worlds stretching away beyond the story.
The Gods of Pagana is thematic for anybody who wants to play a god.
Likewise, players of Tien Chi
should may be interested in Barry Hughart's
The Chronicles of Master Li and Number Ten Ox, set in "a China that never was". Usually, only the first story,
Bridge of Birds is in print, tho.