There’s also The Magic May Return, but I haven’t read it. Also, all of the Hanville Svetz time-travel stories (like “Flight of the Horse”) are effectively fantasy–in fact, Niven has said that that’s the point of the stories.
That’s because it’s not a link–it’s just underlined. I still slip into the old habit of underlining titles sometimes. Italics weren’t readily available when I started typing my first English papers.
For RP purposes, Niven’s fantasy is a little grim. Of course, that may suit your campaign perfectly, but I usually look elsewhere. Steven Brust’s “Vlad” novels (Taltos, Jhereg, and Yendi to name the first three chronologically) have a lot of good roleplaying potential and an interesting take on swords and sorcery. It’s also a rather dark setting–if you’re not familiar with them, the protagonist is an assassin/gang boss.
Niven didn’t actually write “The Magic May Return”. It was a collection of stories written by other authors set in the “Magic” world, and I do not recommend it.
I do believe Niven came out with a sequel (or was it a prequel?) himself recently, called iirc “The Burning City”.
Burning City isn’t really a sequel-- it’s more of another story told in a similar universe… Like Integral trees technically takes place in the same universe as his other stories involving the State.
Short Stories:
“The Lion in His Attic” (found in “Playgrounds of the Mind”)
“Not Long Before the End” (in “All the Myriad Ways”)
“What Good is a Glass Dagger” (in “PotM”)
“The Portrait of Daranyee the King” (in “PotM”)
“Unfinished Story #1” (in “PotM”)
The Magic May Return and More Magic, as noted by others, contain stories written by other authors set in Niven’s Warlockverse.
larryniven.org also claims that “The Burning City” is an “unofficial” member of the Warlockverse.