I read 'The Iliad,' 'The Oddysey,' and 'Beowulf' when I was in high school. Followed by parts of 'Inferno' and 'Cantebury Tales.' In college when studying Japanese, I read 'The Tale of Genji.'
The long form of 'sagas,' whether in poetic or prose form, pull me in. What are some long-form myths and tales you enjoy?
I'm late to the party. I love these kinds of things. For something a bit more esoteric I recommend the Book of Enoch. Also the Aenead is absolutely thrilling with some very exciting fight scenes. The Arthurian legends are my favourite though, particularly Le Morte D'arthur by Thomas Mallory, though it can be a bit long winded and repetitive at times.
If you like the basic structure and action of mythology, then pulp adventure fiction from the early/mid 20th century is worth investigating. The original Conan stories by Robert E. Howard are fantastic. If you prefer cosmic horror then HP Lovecraft is the originator, and arguably the best. Clark Ashton Smith has beautifully written adventure stories that straddle swashbuckling and horror. I could go on and on, but most authors from the time are in the public domain and can be read for free through project Gutenberg or other ebook services like that.
Rereading Lovecraft's Chthulu Mythos. I've read most of his popular novellas, it's fun going and reading little 2-page shorts about going crazy and stuff.