For ripping yarns beautifully written I highly recommend anything by Angela Carter, but especially Nights at the Circus, The Passion of New Eve, and The Infernal Desire Machines of Doctor Hoffman. Her books are dark, perverse, very smart, fantastical yet somehow believable, her universes so complex and cohesive. Sadly, she is no longer with us. I have yet to read her last novel, Wise Children (although I've owned it for nearly 20 years). I'm saving it for a special occasion.
Some very random suggestions of the top of my head:
I loved St. Lucy's Home for Girls Raised by Wolves by Karen Russell, but haven't read the recently published follow up, Swamplandia.
I'm not a big fan of science fiction but I'm not embarrassed to have books by Michael Moorcock on my shelf. I'm also not ashamed to admit I'm a huge fan of Philip Pullman -- a YA fantasy writer -- especially the trilogy His Dark Materials.
I've been meaning to read Memoirs of a Midget by Walter De La Mare, which you might enjoy.
Calvino made me think of Einstein's Dreams by Alan Lightman and The Street of Crocodiles by Bruno Schulz (one of my favorites of all time!) and of course, other Calvino.
The Falls by Peter Greenaway is pretty fantastic but can be hard to find.
Lynne Tillman's Haunted Houses has stuck with me for 15 years.
And finally, one I haven't finished but is off to a good start -- Alva & Irva by Edward Carey.
Occasionally I'll turn to books about books to start me on a new literary adventure. I really enjoyed Ex Libris by Ann Fadiman. How about the favorite books of some of your favorite authors? Calvino alone could lead you to years worth of reading.
Don't give up!