The Lord of the Rings - I know a lot of people have listed these, but the novels and especially the appendices (the movies are good too, but get a little too cartoony action hero-y for my tastes in places) in terms of world-building and the importance of history on the present moment - and of course the view of elves and dwarves. The picaresque approach to travel and meeting people is a big part of my games as well. I love describing the landscape and weather and I could listen to the Robert Ingliss read those passages over and over in the best audio book version of the series (and sometimes do).
The Earthsea Cycle - LeGuin is one of my all-time favorite writers and the original Earthsea trilogy was a huge influence in the creation of my long-time homebrew, Aquerra. Heck, that homebrew even has an Academy of Wizardry! It was the only fantasy book I knew of as a teen that had black and brown people are the main protagonists and the white people were the "weirdo foreigners." However, the last two books she wrote, digging into the toxic male-dominated view of magic in the world of the first three books and challenging the assumptions of traditional fantasy were a big influence on my 5E-era running of games.
Zelazny's Chronicles of Amber - While not particularly D&Dish, the role of familial relations, the yin-yang take on law vs. chaos, the fluid description of moving between worlds (called "shadows") and magical tarot cards used for communication and travel have all made appearances or had an influence on my D&D games.
Hickman & Weiss's Deathgate Cycle - While the ending of this 7-books series felt perfunctory and rushed, I loved the first five books when I read them (some twice as I awaited later ones to be released) and the way each of the four worlds is described were based on a classical element and found a new way to organize the classic fantasy peoples of dwarves and elves, etc. was an eye-opener to me. To this day, the faultless bird (for sending messages) described in one of those books, still appear in my games.
Ed Greenwood's original Forgotten Realms-based articles for Dragon Magazine - This is kind of cheating, but long before the Realms was an official D&D setting, Greenwood was using it as the basis for "generic" stuff to include in your own D&D campaigns. Back then the sense of mystery along with lots of detail was hugely influential on my own worldbuilding. I know it is hard to think of the Realms as "mysterious" nowadays given how many supplements, adventures, and novels have been set there, but back then, it was the sense of a small piece of a much larger and unknowable whole was influential as heck.
Moorcock's Eternal Champion books (Elric, et al. . .) I could not stop reading these once I got my hands of these. I can't say anything specific influenced me (though I took the Red God of the East from the Hawkmoon books and made it the Red God of the West in Aquerra) but the overall feeling of tragedy even when succeeding definitely pervades my games. Much like the "Scouring the Shire" in LotR, no heroic undertaking is free of loss and change for the so-called heroes.
The Chronicles of Narnia - Talking animals? Multiple worlds? The direct involvement of gods or their servants? Yes, yes, and yes. Some people talk about the allegory like it is some kind of secret crime against children, but I never let an allegory get in the way of my enjoying a story and world. As a kid, I only ever (barely) saw it in the first book and didn't care and as an adult I found his attempt fascinating. Anyway, until my current campaigns, gods and religion have always been a big part of my games, and to the degree it is not in my current setting, I miss it and felt like I made a mistake not making it more proscriptive. I could probably add Dune to this list for similar reasons expressed in a completely different way.
Claremont Era X-Men Comics - Serialized drama? Complex relationships with villains? Distrust of corrupt authority? Powerful women? Yes, please!
One Hundred Years of Solitude by Gabriel Garcia Marquez - the book that put the (contentious) term "magical realism" on the map, and the first book I immediately began to read again as soon as I finished it the first time, and the book that drove me to graduate studies in literature (despite not ending up focusing on Latin American lit too much). The generational sense of time and the loose relationship with history built from the re-told events of those generations passed down still has a influence on my running games. Once upon a time, I was a stubborn and steadfast worldbuilder that felt like he needed everything pinned down, but this book helped me to realize that history is malleable and built from stories and what matters is how we interact with it in the present based on our view of the past, not a sense of canonical reality (which never really exists anyway). This game me a looser hold on my homebrewing and the willingness to not only accept contradiction, but to see it as a necessary element in making a world feel immersive.
There is a ton of non-fiction that also influenced me, books on Greek/Roman and Norse and other global mythology esp. but also history books.
