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Clark Ashton Smith (1893-1961) was one of the three great Weird writers, alongside his friends H.P. Lovecraft and Robert E. Howard (the latter being most famous for his Conan the Barbarian stories). Smith's Weird stories fall into three major "series":
Zothique is a lost continent withering under a dying sun, populated by dark wizards and ancient gods, with a vaguely Arabian Nights-like feel. Is it our own future? I certainly hope not. Start by reading "The Empire of the Necromancers"--its characters are the inspiration for our modern Dungeons and Dragons-style necromancers.
Hyperborea is a fictional Ice Age setting, where Lovecraftian deities like the toad-god Tsathoggua terrorize our human ancestors. A great choice for people who thought The Clan of the Cave Bear was too realistic! Start by reading "The Tale of Satampra Zeiros." Fun fact: Hyperborea exists in the same universe as Lovecraft's Cthulhu mythos. (Doubly fun fact: For more Lovecraftian monsters/deities, read some of Robert Howard's stories--Conan fights them all the time!)
Averoigne is a fictitious (and more terrifying?) version of medieval France, overrun by vampires and other supernatural creatures. The first story in the cycle is "The End of the Story."
You can read all of Clark Ashton Smith's stories online at The Eldritch Dark.