Hi, I'm an old Zelazny reader myself, and I agree with most of what Taltos, but I'll add a couple of things. One that was missed:
Creatures of Light and Darkness--based on Egyptian mythology.
Also, in regards to Jack of Shadows, some fans have made a connection between Jack and Hermes the Greek messenger god of thieves. I think it's also possible to see Jack as a resurrection or Prometheus figure, someone who brings the world out of darkness and into light. At the beginning of the novel, the earth Jack inhabits doesn't rotate on its axis, one side, inhabited by supernatural creatures, is always dark, the other, ruled by modern technology, is always in the light. By the end of the book, Jack has restored the natural order, meaning there is now a normal day and night. Since Jack has the ability to move between the worlds of magic and science, he can also be seen as bridge, or transition point between these realms.
Isle of the Dead--if memory serves, it has elements of Greek mythology, but it's been a long time since I read it. However, Sandow, with his ability to shape, can be seen as a creation figure, someone who's bringing order out of chaos. Also, it could be argued the "Isle" can represent Hades, the Greek underworld.
I've read both Donnerjack and Lord Demon. Donnerjack has loose elements of Buddhist mythology, there are references to Mt. Meru, which in Buddhist tradition is said to be the home of the gods. Donnerjack, however, borrows from several sources, so I believe this is an instance where Zelazny overlaps mythologies. Lord Demon, as Leto points out, is based on Chinese mythologies or folk tales. IMHO, both Donnerjack and Lord Demon suffer because Zelazny died before finishing them. They were completed by Jane Linskold. While they read well enough, they don't have the feel of true Zelazny--they read more like someone finishing his last books for him.
A Night in the Lonesome October is not based on any classical mythologies, but takes as its source grade B horror movies from the '30s, Frankenstein, Dracula, The Wolfman, etc. As usual, though, Zelazny comes up with some original characters to round out the cast.
The Changeling is based on Celtic myths, or British and European myths/folk tales that a human child can be exchanged for one of supernatural origins.
The Dream Master has elements of both Greek mythology and Arthurian legend.
Finally, A Rose for Ecclesiastes takes at least some inspiration from the biblical book.
Overall, I think it's fair to say that myths and legends were a mainstay of Zelazny's writings, and that in many stories, he drew on more than one source, so again, I believe he overlapped things when he could.
That's about it off the top of my head. Feel free to add to this or correct as is useful. Terry