I have been reading some of the short fiction of Clark Ashton Smith. I'm sort of a sucker for early 20th century imaginative fiction inspired by the works of Lord Dunsany. Oddly specific? Maybe, but you are likely familiar with more of it than you might suspect *ahem* Lovecraft *cough*.
Smith was actually a contemporary of Lovecraft and they wrote many letters to each other. You might think of Smith as Lovecraft in California. Smith tends more towards what we would recognize as a 'fantasy' fiction line, which makes his Dunsanian influence a little more obvious.
As with Lovercraft, there are not a lot of victorious protagonists. A lot of them read like the beginning of just about any fantasy novel, except instead of someone making a mistake and some heroic characters working hard and rising to fight against evil, someone makes a mistake and it ends badly for them more or less immediately. So much for the hero's journey.