Those types of movies are predominately American (the sword and sorcery ones, that is). Fantasy tends to be a genre Hollywood is very good at, while drama, comedy, etc. has gems from many countries.
That said, I suggest “Pan’s Labyrinth”, “Spirited Away”, and “Time Bandits” as particularly good entries in the fantasy genre.
I was going to suggest Beauty and the Beast and Pan’s Labyrinth, but those have already been mentioned.
The Italian cinema has made loads of mythology films, like Ulysses (with Kirk Douglas), Jason and the Argonauts, Hercules, and The Seventh Voyage of Sinbad.