Gary Gygax in his introduction to Dungeons & Dragons Vol. 1 Men & Magic said
Those wargamers who lack imagination, those who don't care for Burroughs' Martian adventures where John Carter is groping through black pits, who feel no thrill upon reading Howard's Conan saga, who do not enjoy the de Camp & Pratt fantasies or Fritz Leiber's Fafhrd and the Gray Mouser pitting their swords against evil sorceries will not be likely to find DUNGEONS and DRAGONS to their taste. But those whose imaginations know no bounds will find that these rules are the answer to their prayers.
I highly recommend every RPGer read these stories.
Let me help you:
Fritz Leiber's Fafhrd and the Gray Mouser in Lankhmar:
[ame=http://www.amazon.com/Lankhmar-Book-1-Swords-Deviltry/dp/1595820795/]Amazon.com: Lankhmar Book 1: Swords And Deviltry (9781595820792): Fritz Leiber: Books[/ame]
[ame=http://www.amazon.com/Lankhmar-Book-Swords-Against-Adventures/dp/1595820760/]Amazon.com: Lankhmar Book 2: Swords Against Death (The Adventures of Fafhrd and the Grey Mouser) (Bk. 2) (9781595820761): Fritz Leiber: Books[/ame]
[ame=http://www.amazon.com/Lankhmar-Book-Swords-Mist-Bk/dp/1595820817/]Amazon.com: Lankhmar Book 3: Swords in the Mist (Bk. 3) (9781595820815): Fritz Leiber: Books[/ame]
[ame=http://www.amazon.com/Lankhmar-4-Swords-Against-Wizardry/dp/1595820787/]Amazon.com: Lankhmar Volume 4: Swords Against Wizardry (9781595820785): Fritz Leiber: Books[/ame]
[ame=http://www.amazon.com/Lankhmar-Book-5-Swords/dp/1595820825/]Amazon.com: Lankhmar Book 5: The Swords of Lankhmar (9781595820822): Fritz Leiber: Books[/ame]
[ame=http://www.amazon.com/Lankhmar-Book-Swords-Ice-Magic/dp/1595820809/]Amazon.com: Lankhmar Book 6: Swords and Ice Magic (Bk. 6) (9781595820808): Fritz Leiber: Books[/ame]
[ame=http://www.amazon.com/Lankhmar-Book-Knight-Swords-Fafhrd/dp/1595820752/]Amazon.com: Lankhmar Book 7: The Knight and Knave of Swords (The Fafhrd and the Gray Mouser Saga of Fritz Leiber) (9781595820754): Fritz Leiber: Books[/ame]
[ame=http://www.amazon.com/Lankhmar-Book-Swords-Against-Shadowland/dp/1595820779/]Amazon.com: Lankhmar Book 8: Swords Against the Shadowland…[/ame]
Robert E. Howard's Conan saga:
[ame=http://www.amazon.com/Coming-Conan-Cimmerian-Original-Adventures/dp/0345461517/]Amazon.com: The Coming of Conan the Cimmerian: The Original Adventures of the Greatest Sword and Sorcery Hero of All Time! (9780345461513): Robert E. Howard: Books[/ame]
[ame=http://www.amazon.com/Bloody-Crown-Conan-Cimmeria-Book/dp/0345461525/]Amazon.com: The Bloody Crown of Conan (Conan of Cimmeria, Book 2) (9780345461520): Robert E. Howard: Books[/ame]
[ame=http://www.amazon.com/Conquering-Sword-Conan-Cimmeria-Book/dp/0345461533/]Amazon.com: The Conquering Sword of Conan (Conan of Cimmeria, Book 3) (9780345461537): Robert E. Howard: Books[/ame]
Edgar Rice Burroughs's Martian adventures of John Carter:
All are available in the public domain someplace on Earth except for the final novel _John Carter of Mars_:
Barsoom - Wikipedia, the free encyclopedia
However, I recommend tracking down the Ballantine paperbacks for Michael Whelan's delicious cover art:
[ame=http://www.amazon.com/Princess-Mars-Edgar-Rice-Burroughs/dp/0345331389/]Amazon.com: A Princess of Mars (9780345331380): Edgar Rice Burroughs: Books[/ame]
[ame=http://www.amazon.com/Gods-Mars-Martian-Tales/dp/0345324390/]Amazon.com: The Gods of Mars - Martian Tales #2 (9780345324399):…[/ame]
[ame=http://www.amazon.com/Warlord-Mars-Edgar-Rice-Burroughs/dp/0345324536/]Amazon.com: Warlord of Mars (9780345324535): Edgar Rice Burroughs: Books[/ame]
etc.
The L. Sprague de Camp & Fletcher Pratt fantasies:
[ame=http://www.amazon.com/Mathematics-Magic-L-Sprague-Camp/dp/1886778655/]Amazon.com: The Mathematics of Magic (L. Sprague De Camp) (9781886778658): L. Sprague de Camp; Fletcher Pratt, Mark L. Olson, Marc Fishman: Books[/ame]
That's quite a reading list, but it is close enough to being **the** pre-Tolkien fantasy canon that is should be required reading for D&D DMs and setting creators.
The Conan collection I linked is especially mandatory. They, along with H.P. Lovecraft's Cthulhu mythos stories, influenced pulp S&S and pulp horror than anything else.
So I'd start there, move on to the ERB John Carter of Mars series, and head back to Leiber's Lankhmar.