I love all novels by Patrick O'Brian (Master and Commander, et al). But that's not terribly connectable to this forum.
I remember loving The Dream Quest of Unknown Kadath by HPL as a young guy...I love Jack Vance's Dying Earth works. I love some of his lesser known fantasy and science fiction works, like Night Lamp, and Rhialto the Marvelous (
I wrote a foreword to that novel).
I like the Cugel Saga, Cugel the Clever etc very much...
I was quite affected by the interplanetary fantasy novel A VOYAGE TO ARCTURUS by David Lindsay, when I was young, and also ER Eddison's THE WORM OUROBOROS. Also THAT HIDEOUS STRENGTH, a great sf/fantasy/horror/ metaphysical social-satire and all around powerful book by CS Lewis. I admire all of Tim Powers' modern fantasy novels... they have science fiction elements but really they're fantasy...I really like Michael Moorcock's Dancers at the End of Time books and his Elric cycle...Most of JG Ballard's latter day works are high on my list...
Oh, how about THE CIRCUS OF DR LAO by Charles Finney! I could go on.