Bullfinch's Mythology

A classic mythology reference, it consists of three different books:
The Age of Fable (1855), which details Greek and Roman myths,
The Age of Chivalry (1858) which details the King Arthur legends,
The Legends of Charlemagne (1863) which details myths of the Middle Ages.

The original sources are a better read, but Bullfinch was probably the first to take the study of mythology seriously, and for this Polytheism.org pays him respect. It's still a classical reference for initial research into your favorite God, Goddess, Demigod, or Spirit.