We play almost exclusively fantasy games (primarily, D&D 3.5).
Reaper used to be the best source, and monthly received a fair few Weaverbucks. But we buy far less from them now, in part because in the last two years a growing precentage of their releases have been in the Chronoscope line (i.e. miscellaneous non-fantasy figures... some nice figs, but we don't need them) and in part because their fantasy figures have largely switched to match the art style found in the D&D 3rd and 4th editions and the Pathfinder rules - an art style that is extremely cartoony and emphasizes over-sized weapons and bad hair. Accordingly, many of their fantasy figures, while well sculpted, look very silly these days.
However, Reaper does still have a huge back catalog of nice (and more classic) fantasy figures. Most of the other companies that we buy from have been listed as well:
Dark Sword produces some gorgeous fantasy figures
Hasslefree has a small collection of traditional fantasy figures, and are very nice sculpts
Red Box Games is a newer company well worth checking out - it is Tre Manor's own company (he has done a lot of work for Reaper). There are some excellent figures in this range, which grows by four or five figures each month. Check out this guy, for a mage, cleric, or druid:

Werner Klocke's Freebooter range also has some beautiful figures in it. Of late he has been concentrating on pirate-type figures for his Freebooter's Fate game, but the whoe range is well worth looking at.
Heresy has some good fantasy figures, including some interesting halflings.
Check out Otherworld miniatures. They are great sculpts in a "classic" style. So far they have concentrated on "monsters" for your fantasy encounters (very faithful to the art in the old first edition AD&D
Monster Manual), but I think they are beginning to branch into character figures a bit more (well, they are releasing a few Drow figures, at any rate).
A fair number of the figures that show up in our D&D campaign actually are GW figs - generally plastic guys I have assembled from the Empire sets. But they are more Renaissance in style than Medieval. But you can kit-bash some really nice poses from the GW Empire plastics (the Bretonnian ones are less flexible).