I've read a few more since this thread was born. Gaiman's Stardust, Lord Dunsany's King of Elfland's Daughter. Hope Mirless Lud in the Mist, Poul Anderson's Broken Sword. All good reads but Lud in the Mist is a beautiful read.
I agree. Lud in the Mist is one of my very favorite books. I love the story and the setting, but it is the beautiful writing that makes it so special.
I have yet to read it, but wouldn't the story collection, Kingdoms of Elfin by Sylvia Townsend Warner qualify?
Yes, Kingdoms of Elfin would definitely qualify, although the stories in the collection are generally from the fairies' viewpoint. And many of the stories are about fairies interactions with other fairies rather than with humans. Interactions between humans rarely end well, but her fairies aren't usually very kind to each other, either. Her Elfin kingdoms are wonderfully well-realized for such short stories.