Jurgen by James Branch Cabell

According to Wikipedia: "James Branch Cabell (1879 - 1958) was an American author of fantasy fiction and belles lettres... Cabell's work was thought of very highly by a number of his peers, including Mark Twain, Sinclair Lewis, H. L. Mencken, Joseph Hergesheimer, and Jack Woodford. When Twain died he was reading Cabell's Chivalry. And although now largely forgotten by the general public, his work was remarkably influential on later authors of fantastic fiction... Cabell's eighth (and best-known) book, Jurgen, A Comedy of Justice (1919), was the subject of a celebrated obscenity case shortly after its publication. The eponymous hero, who considers himself a "monstrous clever fellow", embarks on a journey through ever more fantastic realms, even to hell and heaven. Everywhere he goes, he winds up seducing the local women, even the Devil's wife."