Vision of Escaflowne is probably one of the best TV series of all time, and I can't recommend it enough. The story is tight, the animation is very smooth and uniform, and the music is excellent (one of Yoko Kanno's earlier projects).
Other shows that fall into the western-ish fantasy category that I haven't seen mentioned here include Weathering Contitnent, which is a short film with a self-contained story that is very well done.
Legend of Basara is technically post-apocolyptic and light on the supernatural, but it has plenty of fantasy visuals (unfortunately, the TV series is incomplete).
Violinist Hamelin is a very dark fantasy series (though the visuals tend to be silly, which creates somewhat of a dysjunction) that I enjoyed quite a bit.
Aura Battler Dunbine adds quite a bit of semi-magical pseudo-technology, but definitely has the sword and sorcery vibe to it.
Magic Knight Rayearth is more console game inspired, but still is very much fantasy. It also has one of the best twist endings ever (I pretend Rayearth 2 doesn't exist).
Shamanic Princess, while not strictly set in a medieval setting, is definitely worth it for the spellcasting visuals (the story isn't bad either).