There are a few fantasy mods for Crusader Kings 2, notably those that transform the game into realms from The Lord of the Rings, or The Witcher, or The Elder Scrolls series. The Fantasy! mod, however, doesn't represent any specific fantasy fiction, it just throws in a bunch of fantasy races and allows you to come up with your own stories while you play.
When you start the mod, you can select your race from elves, dragons, giants, orcs, trolls, goblins, humans (boring!), and dwarves. (Or is it dwarfs? I'm never sure.) You're then given a choice of how much fantasy you want in the game. If you want the whole world to be injected with fantasy, it won't entirely transform the map, but as you look around you'll find small pockets of orcs, giants, goblins, and elves living here and there among the humans. It gives you a nice bit of alt-history along with your actual history.
If you want to be the only fantasy race on the planet, you can restrict the changes just to your country and court, or even limit the changes just to yourself. I personally prefer to sprinkle the entire map with little bits of fantasy, so when you're scrolling past Norway and Sweden, hey look, there's the King of the Ice Giants. Hi, Ice Giant King!
You can also pick a playable character and change them into a member of a fantasy race using the ruler creator, like when I decided to turn the King of France into a Mountain Goblin.
Naturally, each race has its own bonuses and specialties. Elves have their own troops, an elite archer squad. Dwaves can build mines to create higher tax income. Goblins don't have the deadliest armies but they do have some of the biggest, and you'll quickly assemble massive hordes of the scaly little warriors. Dragons are, as you'd guess, quite adept at warfare, plus, if you play as a dragon you have the option to simply eat your prisoners instead of simply executing them.
There are also some new classes to specialize in, such as Rogue (which replaces intrigue), Warrior (martial), and Politician (diplomacy). Each class has related quests, activities, and even equipment. If you're a rogue, for example, you can steal from people in your realm and earn cash from assassination contracts. There's even a Mage class which can acquire spell books that allow you to summon skeletal warriors.
You can subscribe to the Fantasy! mod right here in the Steam workshop, and simply active it in the mod tab of the game launcher. We previously covered another CK2 mod by the same creator: the Gods! mod.