The first fantasy/horror magazine wasn't Weird Tales — it was Austrian magazine Der Orchideengarten (The Garden Of Orchids), launched in 1919. Featuring H.G. Wells and Karel Capek, the magazine was also known for its lush, surreal art. Gallery below.
The magazine's artwork ranged from representations of medieval woodcuts to the work of masters of the macabre such as Gustav Dore or Tony Johannot. Two issues of the magazine were devoted to detective stories, and one to erotic stories of cuckolds, but the rest of the time, it was all fantasy stories, including pedestrian German originals as well as fantastic reprints from abroad. A Journey Round My Skull has a terrific collection of the magazine's covers, a few of which are here. Click over there to check out the rest.