The Meridian Handbook of Classical Mythology is my go-to resource for mythology. It has excellent overviews of all of the most important mythological figures and, more importantly, citations of the ancient sources in which they appear. It is important to recognize, for example, the differences in how Homer, Euripides, Herodotus, and Gorgias approach Helen, or how the descriptions of Medusa differ between Hesiod and Ovid.

Anthology Of Classical Myth: Primary Sources in Translation contains a very nice selection of translations as well as useful appendices on papyri, inscriptions, and Linear B tablets.

For an art historical approach to Greek mythology, there's Carpenter's Art and Myth in Ancient Greece.