Recently read The Revolutions by Felix Gilman, a story of late-Victorian occultism that's sort of Dion Fortune meets David Lindsay. Somewhat uneven, but recommended.
Also, The Phoenix and the Mirror by Avram Davidson, set in the Roman Empire as it might have been imagined from Renaissance Italy. A strange read, full of alchemical details that might try some readers' patience, but with a strong perfume of time and place -- though which time and place, I'm not sure. Not ours, anyway.
Now started The Bull From the Sea, by Mary Renault, the tale of Theseus after he returns home. It's classed as historical fiction, but it reads almost as fantasy because to the narrator, the supernatural is real. Like Davidson, Renault masterfully puts us in the head of someone with a world-view not at all like ours. And it's beautifully written -- it's the first book in ages that's given me the same excitement of discovery I often got reading a new author decades ago.