LOTR is top of my list (of the polled items); the books; NOT the movies. I enjoy the costumes, the special effects and the landscapes but not the way Hollywood absolutely eviscerated the classical masterpieces of JRR Tolkein of their depth, mystery & glory. Tolkien also wrote a number of excellent short stories. My favorite is "Leaf, by Niggle".
Harry Potter is fun.
You forgot CS Lewis' fantasies; The Chronicles of Narnia (Disney should NEVER have been allowed to make those hideous, vapid parodies, though.) His more adult-focused fantasies, particularly "'Til We Have Faces" are well worth reading also. It's often difficult to interpret these (as it is with all great literary fantasies), but they leave you with that slightly disturbed sense of wonder—as if something profound and earth-shaking is buried just beneath the surface.
George MacDonald (a contemporary and friend of the great satirist Lewis Carol (Alice in Wonderland, etc.)) is the grandfather of them all. (Speaking only of the modern-era writers) He (like CS Lewis) wrote in several genres, both fiction and non-fiction. I love his fantasies best--Lilith and Phantasties are my top-line faves.