The Fairy Mythology is a great collection of folk tales about fairies from all over the world. The book looks at fairy traditions from various countries and nations; Scandinavia, the British Isles, Germany, with folklore tales and the histories behind myths and legends of such mythical creatures as the Kobolds or Korrigans. The author took a thorough approach to the study of myth and folklore, and explored the parallels between the myth of a nation to the religions and mythology of other regions.
I know I've read much of this book before under a different title, the rather more twee-sounding The World Guide to Gnomes, Fairies, Elves, and Other Little People, but I don't think I ever finished it. Originally published in 1828, it details different types of fairy lore from around the world, although that mostly means Europe with a few other places thrown in. Keightley was a follower of the Brothers Grimm, referencing their work pretty often, and paying a lot of attention to the similarities in different types of Germanic folklore. He mentions a lot of similar beings who could be either helpful or dangerously mischievous, and includes samples of poems and tales about them. There's some information on the lands where the fairies live, although a lot of folklore associates them with local landmarks. Keightley raises the possibility that the fairy could derive from the Persian Peris, but admits that such beings can't accurately be traced to any one source. While I'd heard of many of the types of supernatural entities described here, there were definitely some I hadn't.