Gary Gygax's famous "Appendix N" from AD&D has attained a near-legendary status amongst "old-school renaissance" types, who carefully pore over his list of influences and recommended reading as though it were a holy text. Nonetheless, it's a good place to start if you've bought a game and want to understand what the designer had in mind when he wrote it, as well as being a useful pointer towards books you might not have read.
Plenty of other RPGs and supplements include a bibliography (GURPS is particularly strong in this area, while Forgotten Futures includes not only a bibliography but also a large number of the original stories); some are based on literary properties you might have otherwise missed. I was wondering what books and authors you've discovered because of gaming and what you thought of them. A few from me:
H.P. Lovecraft: Like many people, Chaosium's Call of Cthulhu was my first exposure to Lovecraft and his squamous, rugose, unnamable horrors. I picked up a three volume set of paperbacks and never looked back (which is wise, since you can't be sure what's lurking just behind you). While all things Cthulhu may have reached an almost zombie level of overexposure these days, I still enjoy the original stories.
Jacques Futrelle: American mystery writer Futrelle is remembered today largely for two things, creating the character of Professor Augustus S. F. X. Van Dusen aka "The Thinking Machine," and, less happily, sailing aboard RMS Titanic... Consequently the world lost him at the age of only 37. The game Mercenaries, Spies & Private Eyes by Mike Stackpole is dedicated to him, Stackpole being a huge fan of the Thinking Machine stories. They're highly cerebral tales, not action-adventure types, and the main character is remarkably unlikeable, being even more sure of his own abilities and superiority than Holmes. Not all have aged well, but you can find ebook versions easily and they're worth a read.
Dream Park: There are now four Dream Park novels by Larry Niven and Steven Barnes; despite owning the most recent, which appeared after a twenty year gap, I haven't actually read it yet. The first three, however, I've read several times. Largely enjoyable despite some goofs, oversights and occasional plodding, they're set in a futuristic amusement park where people are effectively LARPing, but there is a real-world mystery in place which impacts the game, such as a murder in the first book where the killer is believed to be a player, leading the head of security to join the game in an attempt to flush them out. Mike Pondsmith turned the setting into the Dream Park RPG from R. Talsorian Games, which I saw at its 1992 Gen Con release. Much like the original novels, the game is flawed but fun anyway.