I have a particular fondness for Icelandic Sagas, Beowulf, Nibelungenleid/ Volsungasaga, and similar readings. Irish hero tales are also great, the Tain, the tales of the Fianna.

For more historical primary sources, try Ecclesiastical History of the English People (the Venerable Bede), History of the Franks (Gregory of Tours), History of the Danes (Saxo), the Anglo-Saxon Chronicle, Germania & Agricola (Tacitus), the Commentaries of Caesar... most of these can be found as inexpensive Penguin paperbacks.

This is by no means an exhaustive list, a quick internet search would likely turn up nice sources for any area or culture that you might want to incorporate into a game.

The Nihon Shoki starts out as a retelling of Japanese mythology, but towards the middle becomes more and more a mostly accurate chronicle of medieval Japan. I havn't read most of it, though, and can't say how good a read it is. Comparable to Tacitus I belive.

From India, there's the Mahabharata and the Ramayana. They are pure myth and as outsider you can even regard them as fantasy novels. But they are huge! Wheel of Time and Song of Ice and Fire are quite compact in compairison. The action is awesome, though. A cast of demigod heroes like the greek or superhero comics, and cataclysmic battles with millions of soldier fighting for weeks. I think they are quite similar to the Iliad and Odyssey, except that the culture from which they came endured to this day. One section, though probably a later addition and clearly meant for spiritual education, is still pretty much religious scripture in India today.