Hmm, what about Michael Moorcock?
In some ways Elric is the anti-Conan, driven by magic and the dark symbiotic need of his black sword Stormbringer (11 novewls, plus short stories).
One of my favourite Conan comics had this:
Elric appeared in a two-part Conan the Barbarian comic book adventure entitled "A Sword Called Stormbringer!" and “The Green Empress of Melniboné”, written by Roy Thomas, based on a story plotted by Michael Moorcock and James Cawthorn that appeared in Conan the Barbarian.
Absolutely stunning artwork.
Moorcock creates very elaborate worlds. He has trilogies of books of his heroes, Dorian Hawkmoon (2 trilogies), Oswald Bastable, and Corum Jhalen Irsei (2 trilogies), and then later he tied the whole thing together with the concept of the Eternal Champion
http://en.wikipedia.org/wiki/Eternal_Champion
I'd go so far as to say that Moorcock was the first guy to tie a large number of his books into one arc, much as Asimov and Heinlein later did.
And THEN, he attaches to it the 1960s strangeness of Jerry Cornelius, one of the great characters of fantasy fiction. And just when you think you jave a handle on Cornelius... the next book, he's someone different!
And of course Discworld, funny and light after the darkness of Conan and Elric, though these too can be pretty deep and have dark moments in the later novels.