I've been scolded somewhat for the title of this thread, but it seems to be what you're after, nonetheless:
http://www.sffchronicles.co.uk/forum/43819-fantasy-pre-tolkien.html
As for "Collier [...] polite whimsies"... ummm... how much Collier have you read? Even a brief dip into
Fancies and Goodnights will show that he frequently had about as dark a view of humanity as Shirley Jackson or Charles Addams at their most misanthropic; at times he can even rival Bierce (though he never quite accomplished something like "Oil of Dog", or the other tales of Bierce's "Parenticide Club", I must admit...). What you're describing here sounds more like Thorne Smith (creator of "Topper"... and the fact that I even remember that character, let alone having watched the television series based upon the book(s), may well date me more than anything else I've ever put on here....
).
Poe... yes, he is mostly known for his horror, but that only comprises about 10-15% of what he actually wrote; he wrote all types of tales, from whimsical to poignant, wistful tales, to nature studies, to savage satire, a fair amount of which uses fantastic elements.
"High fantasy" is a relatively recent term, but that type of tale has been around for ages, and you'll find a fair number of suggestions at the link I sent to you (or the links given in the threads mentioned there). But I would suggest you not stick only with "high" fantasy, as fantasy is a very broad field, and comprises humor, horror, quietly wistful pieces, ghostly tales (both of the horrific and whimsical kind -- cf. John Kendrick Bangs, for instance), parallel universe stories (the Harold Shea stories by Pratt & de Camp mentioned above, or their
The Land of Unreason, etc.), and just about any type of tale you care to mention, from the delicate fairy-tale atmosphere of some of Dunsany's work to the biting social commentary of Harlan Ellison to the elegiac tales of Ray Bradbury.
And then there's the "sword-and-sorcery" type of tale, which would probably suit you just fine, as it is mostly an adventure tale set in a fantastic milieu, but sometimes with a mixture of sf and fantasy (as in several of Andre Norton's "Witch World" stories and the like... a fair number of which I would recommend to any lover of classic sff). Leiber has already been mentioned, but Avram Davidson has also done some marvelous tales in the fantasy genre, and you might want to check out his
The Phoenix and the Mirror,
Peregrine: Primus, or
The Island Under the World, as well as his various short story collections (a personal favorite being
Or All the Seas with Oysters..., titled after the Hugo-winning sf/fantasy piece). I would also think you'd enjoy some of A. Merritt's or H. Rider Haggard's fantastic tales.
Smith was more a fantaisistes than a horror writer
per se (even his "horror" often had a fair degree of irony and humor to it), and definitely shouldn't be missed; but Lovecraft also did his share of fantasy work which lands somewhere between what most people
think of as fantasy and horror, and I'm not merely referring to his "Dunsanian" tales here.
There's a rich cornucopia of types of fantasy to choose from; the problem, in fact, is choosing, once you open that door.
And that's not even counting the fact that a fair amount of the sf magazines have published what, essentially, is fantasy, for that matter....