A book I've read recently entitled 'Comparative Mythology' by Jaan Puhvel is definitely worth reading. Although it only compares Indo-european mythology, rather than all mythologies. It's a difficult read, in palaces, with loads of scholarly etymological stuff, although after dipping into to it a few more times, I've got quite a lot of info out of it.
Frazer was a classical scholar, and even though his theories on the evolution of religion are outdated, He knew what he was talking about when it came to the greeks and romans.
My first introduction to mythology was 'the Two Babylons'. At the time I was totally sucked into it, and it introduced me to the belief in a pagan saviour type figures, who preceded Christianity in various mystery systems and mythology in general. However, I've learned quite a lot since I first picked it up, and I regard the central argument of the book (that Roman Catholicism is based on the Babylonian worship of Nimrod and his wife Semiramis) to be wrong.
I'd recommend all four volumes of Campbell's 'Masks of God'. I agree with bananabrain, that Joseph Campbell is a bit ignorant of Judaism (as well as Christianity), and favours Oriental religions, such as Upanishadic Hinduism, Buddhism, Daoism, etc, over Occidental Monotheism. His main focus is on the universal ideas behind religious symbols (masks of god), rather than the local reformed ideas.
Another author I love is Robert Graves. 'The White Goddess' is compulsive reading, but a hopelessly impossible book to follow. But it does contain some real gems. Two chapters I love are 'the single poetic theme', and 'the bull foot god'. Graves is a storehouse of mythology, but 'The White Goddess' is not academic fact. Graves himself says that it's the poet's job to deal in truth, rather than fact, and much of his work is based on his own unorthodox intuitive methods.