The tales of Fafhrd and the Gray Mouser have been called archetypal adventures for Dungeons & Dragons, and it is no surprise that they are featured in the legendary Appendix N, a listing of fantasies that inspired the game. They also share a similar origin to Dungeons & Dragons, as both Lankhmar and Dungeons & Dragons evolved from wargames. Fritz Leiber had created the world and the game with the help of his friend Harry Fischer in 1937. A revised version of this game would be published 40 years later by TSR, following in the wake of the original publication of D&D. Gamemakers have returned to the setting regularly since then.
While I recommend leaping into the world of Lankhmar with the pulp introduction to Fafhrd and the Gray Mouser, "The Jewels of the Forest", those who wish to read the origin stories of Fafhrd, the Gray Mouser, and their partnership should read Swords and Deviltry. Check out JimFear138's review of that audiobook posted below. (For those who would rather read the transcript, here's a link to his blog post.)