"Lost world" stories, in which a modern man is flung into a corner of reality whose physical -- and metaphysical -- laws are different than those of the mundane world, were an important overlooked influence on the development of OD&D. An uncommon but related genre concerns incursions of the magical and the mysterious into mundane reality, often with disastrous results. A good example of this is Charles Finney's 1935 novel, The Circus of Doctor Lao (which was loosely adapted into the 1964 film, 7 Faces of Dr. Lao).
The novel takes place in a small town in Arizona, where a strange circus owned by an enigmatic Chinese man named Dr. Lao pays a visit. The circus is strange because its attractions consist exclusively of mythological beasts and legendary people. Among its exhibits are a satyr, a medusa, a werewolf, a unicorn, and the occultist Apollonius of Tyana, among many others. The townsfolk are drawn to the circus and many have inexplicable experiences as a result of their interactions with Dr. Lao or his attractions -- inexplicable in the sense that there is no easy way for them to dismiss what they have experienced as hallucinations or illusions even though they "know" that they could not have experienced what they have in fact experienced. The exhibits of the circus challenge their conceptions of reality and rationality.
Finney seems to have intended the novel as a critique of the modern mindset that readily dismisses magic and mystery, closing itself off to the possibility that reality might be bigger than what can be viewed by the senses or explained through science. The book offers no definitive explanations for what the townsfolk experience and even its tentative ones are incomplete and contradictory. This might make the novel frustrating to some readers, but that's probably a response Finney wished to elicit, at least as I read it. The book is an invitation to open one's mind and ponder how many things we've been told to be true either are not or that don't tell the whole story. It's an ode to wonder and awe.
I can't claim that The Circus of Doctor Lao had much direct influence on D&D, although the treatment of Medusa as a kind of species of creature rather than a singular being might have its origin here. Nevertheless, the phantasmagoric nature of the circus provides good fodder for referees looking for unusual obstacles for their adventures. Likewise, the book's central theme -- the openness to wonder -- is one every gamer should keep close to his heart. Lose sight of that and this hobby very quickly becomes a joyless exercise.