I'm a huge fan of Exalted's take on the Fair Folk, although they are a fair bit more Cthulian cosmic horror than traditional mythology. E.g. one of the options they can take for physical form is "living song."

The source book, Graceful Wicked Masques, has some great lore, but abysmal mechanics. I found it very inspiring, particularly for building an alien, frightening Faerie.