Yes, it’s Little, Big.
A contender that no one else has mentioned is Mark Helprin’s Winter’s Tale.
Great choice. Hadn’t thought of “Winters Tale” in a long time. Going to have to dig it out again!
I think some of the stories were side tales of life on the Down after the the original book and things like that, not just lapine mythology. But I agree that it was pretty dire stuff and I only read it once (out of obligation by the end) and never touched it since.
Watership Down is a great one!
Although I don’t think it qualifies for this thread, because it’s about real rabbits and I don’t think anything magical ever happens if you view the El Ahrairah stuff as symbolic. 
Dated very, very badly.
I really enjoyed Neverwhere by Gaiman.
I thought Imajica by Clive Barker was pretty great.
FWIW, a bit of googling turned up this list of “25 Best Stand Alone Fantasy Novels.” It has a lot of overlap with this thread, but Little, Big is nowhere to be found.
I like that list. Surprised/glad to see The Book of Joby on it, and The Anubis Gates – those would have been my other two recs, after Tigana.
I logged in just to mention Winter’s Tale. (There’s a movie released next year. I’m hesitantly excited but know it won’t capture the soul of the book.)
I’ll add my support for Bridge of Birds and Tigana, both of which I resisted due to hype then smacked myself for doing so after enjoying them thoroughly.
The Curse of Chalion is a great book and does well as a stand-alone even though it looks like there are more books out there continuing the story. I also quite enjoyed The Night Circus.
(Ugh, I just skimmed that list of 25 Best Stand Alone Fantasy Novels and saw “The Book of Joby” on it. Horrible horrible horrible miserable book.)
The Night Circus was dreadful.
It also has Roger Zelazny’s *Lord of Light *on it, which is an absolutely terrific book but one that is straight sf, with no fantasy element except in the deliberate style it uses for prose. Makes you wonder whether people really read and understand the books they write about.
The Forgotten Beasts of Eld by Patricia McKillip. Very lyrical.
I had forgotten Mythago Wood although I now remember enjoying it greatly. Barlow’s **God’s Demon ** (on the removed list) was an interesting idea but he made the story of a Prince of Hell saying “Enough! I AM SICK OF LIVING LIKE THIS!” and trying to return to Heaven to ask forgiveness and made that story dull.
Try Aloha From Hell and Devil Said Bang in Richard Kadrey’s excellent Sandman Slim series, which have a similar premise:
The gentlemanly Lucifer gets weary of running Hell and goes into quiet retirement in Heaven, leaving the Prince of Darkness stuff to hard-bitten gun-totin’ half-angel Richard Stark, former Los Angeles black magician turned Hell’s gladiator turned Hell’s assassin turned private eye turned freelance supernatural badass. Like a gonzo Harry Dresden with a nasty streak and a filthy attitude.
Gleeful pulp guignol with a surprisingly thoughtful eschatology.
Nice list. Thanks.
And it has American Gods, which would get my vote for best stand alone fantasy. Also has War for the Oaks, by Emma Bull, which I liked, but haven’t feld compelled to reread several times.
One obscure one that I absolutely love is The Inverted World, by Christopher Priest. I can’t recall ever encountering any other person who has read this book, but it’s wonderful. I won’t even begin explaining what it’s about, since it’s so delightfully strange that I couldn’t do it justice. But you gotta’ read it.
Honorable mentions:
The High House, by James Stoddard.
Okla Hannali, by R. A. Lafferty
How about William Hope Hodgson’s The House on the Borderland?
Good one, and I think a good one to get a younger reader into fantasy.
Looks good. Ordered it. Appreciate the link, because I’m usually too lazy to do it myself. 
I think “Declare” is a better fantasy than The Anubis Gates, and also “The Stress of Her Regard,” but there is NOTHING wrong with The Anubis Gates. Powers had a string of years where he was knocking everything he wrote right out of the park.
I loved The Book of Lost Things. So many authors nowadays try to reinterpret fairytales in a way that’s supposed to be dark and edgy but usually just ends up being affected. But this book does it brilliantly.