For Classical Mythology specifically, Robert Graves' The Greek Myths is still my favorite. Although much of the scholarship is dated, Graves was a very fine artist in addition to being a Classical Scholar, thus many of his insights are quite worthwhile. (Graves famously asserted in The White Goddess that classical scholars lack "the poetic capacity to forensically examine mythology";)
Graves extensively annotates The Greek Myths, and very often draws parallels to other the mythologies of other cultures.
Another great aspect of Graves is he incorporates many of the ideas of the Golden Bough. Frazer is no longer considered credible from an anthropological perspective (he was quite early in the field,) but his work was extremely influential in many areas of 20th century literature. Thus retains value from the perspective of art.