Gene Wolfe's been mentioned, but I thought I'd tout my favorite of his books - the first is currently marketed as 'Latro in the Mist
'. A mercenary gets wounded in a Greek temple during the battle of Themopalayae, and cursed by the goddess of the temple. Loses his memory every day so he writes a daily diary to save his memories (which are found 2500 years later, and we are reading) Another Greek god, in opposition to the offended goddess for his own reasons, grants Latro some 'gifts' - including seeing the hidden gods/immortals all around (as ancient Greeks believed). Interesting stuff ensues. It's not an easy read, but it's very, very satisfying. Another volume follows, and I hope for a final one to tie up loose ends, if Wolfe lives long enough. His short stories are great, look for any of the short story collections.
Poul Anderson died a few years ago, but he wrote some very good fantasy and sci-fi. I liked his Norse myth based fantasy stuff, "Hrolf Kraki's Saga"
in particular, but for an intro I'd suggest "The High Crusade" - long story short, some aliens land their spacecraft too near the wrong group of British knights and longbowmen.
David Drake writes 'military sci-fi', his original stuff was based on tanks (he was in 'Nam, an interpreter w/an armored division) and the 'Hammer's Slammers' series of tank sci-fi is worth your time if you like military sci fi at all. He moved on to using ancient generals/battles as the basis for sci-fi, a series of books on other planets/different tech but based on the life of General Belisarius. A lot of Drake's stuff is available for free at the Baen free library online (and y'all should know about this site in any case) They believe that if you read book 1 in a 4 part series, they still make money. Every publisher should be so smart.
Baen Free Sci Fi/Fantasy
Finally - Robert Holdstock. His stuff is not for everyone, but I really liked it. I'd say read 'Mythago Wood'
and if you dig it, read everything else you can find. Hard to explain, easier to just point you in the right direction.