I'd second the suggestion of Merritt, though I, too, would advise putting
The Moon Pool further down the list. M.P. has a strong tendency for the romance of the latter part (the sequel to the original short story and therefore the bulk of the novel) to be painfully silly, rather seriously marring some otherwise magnificent work. Worth reading, but by no means his best. I'd also put in a word for
The Face in the Abyss and
Dwellers in the Mirage as very good, atmospheric (and colorful) adventure novels, as well as the collection of his shorter tales,
The Fox Woman. I also heartily endorse the mention of Kuttner and Moore, especially "Mimsey were the Borogoves", "The Children's Hour", and "Vintage Season".
On a somewhat different note, if you've not read them, the works of James Branch Cabell -- especially his
Biography of the Life of Manuel -- might be of interest. Deft, witty, ironic, and beautifully written; these have largely been brought back into print recently by Wildside Press, the few remaining books of the set being fairly easy to find, should you be interested.
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Where possible, the editions illustrated by Frank C. Papé are especially fitting, as he was in many instances to Cabell what Sime was to Dunsany.
You might also try E. R. Eddison's books. While
The Worm Ouroboros is largely a straightforward fantasy epic (albeit written in a very archaic style, one which adds considerably to the experience), the other three novels --
Mistress of Mistresses,
A Fish Dinner in Memison, and the unfinished but nonetheless fascinating
The Mezentian Gate -- also have varying layers of philosophical speculation in them, as well as intertwining multiple parallel lifelines of the main characters. Another well worth trying is Fletcher Pratt's
The Well of the Unicorn which, through the lens of fantastic story, has some very probing examinations of politics, social mores, philosophy, and the basis of ethics as well....