I am going to focus purely on Votan (published first 1966) today. This is perhaps the most accessible of James's works in that collection and the one I can best discuss. I hope the following will show you why.
A brief discussion of what Votan is about. A Greek physician and priest with some mercantile connections is living on the German frontier of the Roman Empire in the first century AD is lured over the border into the trade links and battles of the Teutons - particiapting in and giving rise to the tales of Norse Mythology taking on and creating the guise of Odin (Photinus > Photin > Votin > Votan >Wodin > Odin). It is rarely outright 'fantasy', but I do not think it is wrong to call it fantastical, even if it is only slightly within the bounds of speculative fiction.
The trick, if you will, is in how James does this. Photinus is explicitly of his time; he never feels like a time-traveller, condemning his own time or trying to stand outside it. Part of this may be because he is an outsider for most of the novel: a Greek from the world of the Empire reacting to the world of the Norse. He is even putting on an act: impersonating a deity or a priest, not just to save his own skin, but in order to make a great deal of money from the profitable amber trade, as well as to leverage such other benefits as he may from the position he finds hismelf in. But even while he is putting on the act, he does it at the behest of a divine figure he seems to have a genuine belief in.
This never feels, I am glad to say anything like the Hollywood-esque 'The TRUE Story behind the Legend!!' affair this might be. Even where James's prose gets a little too slick or humorous (Photinus on German costume: 'Trousers are funny things to wear. You can always feel them on your legs. IT takes you a long time to get used to riding a horse with them, the cloth spoils the contact with the beast's side.'; 'It was wonderful to walk round with bare legs, like a real human being.'), it never feels glib or referential in that manner called 'fanservice'. Of course, this is a book full of reference to Norse myth, but one doesn't get the impression that Photinus is inventing this all out of whole cloth. He is inhabiting a role and has to keep moving and struggling to shift through intact.
So, why bring this up here? In part, because of the reaction to it. I made a search after reading it for writing about it, in addition to Gaiman's introduction (it occurs to me that if folk read the books Gaiman introduces as readily as they read the stuff he pens, this would be fine indeed). I dug up a brief article on James from Tor Books by Jo Walton. But eventually I bit the bullet and went to GoodReads. One of the longer reviews did not rate Votan highly; complaining of the excessive detail Re. German tribes (Vandals, Marcomannni, Frisians....) and trade networks.
Well, the narrator is a merchant and is able to exercise his powers by sitting in Asgard at the centre of trade networks and between tribes; further, he is an outsider and must untangle this for hmself mentally, whilst standing aprt from the Germans. Besides, he is taking on the role of Odin - a knowledge god. What could be more appropriate than demonstrating this?
But aside from my defence of James's Votan, what makes me write this post? Photinus's tale and status is rather reminiscent of a tabletop fantasy RPG player. He is from a different civilisation from that which he moves through and some of his abilities and knowledge come from this. He must learn the ways and tricks of this world. His financial motivation and cynicism is not unlike a certain vision of the player: the murderhobo model, though tempered by his vulnerability. He even shows the occasional, hidden scrap of sincere belief and religious fear - like a player paying occasional service to in-universe beliefs.
In all, a book worth reading.