the shadow over innsmouth but it's about how becoming a fish-man is actually pretty great
Completely earnestly: I have long had "Cosmic Fantasy" in my head as the term for the awe-inspiring strange vibes of The Dark Tower books and of His Dark Materials / Golden Compass.
The Myst & Riven lore and the canon books in the setting are also kind-of this but they don't involve fuckin' around with gods, nor does anybody have a rifle, instead it's about anti-imperialism and writing books that create universes.
Cosmic horror founding father H P Lovecraft arguably also wrote one of these with The Dream-Quest of Unknown Kadath.