We Are All Legends

Summary (from Wikipedia): The collection consists of a cycle of thirteen stories, nine of them originally published from 1976 to 1979 in various fantasy and science fiction magazines and anthologies, with the remainder original to the collection. The stories relate the endless, hopeless journey of the doomed anti-hero Sir Julian, a medieval knight whose soul is forfeit to Satan but who has been left free to wander the world. He encounters numerous horrors and divine or semi-divine creatures from myth and legend, and in the course of his adventures is continually forced into awareness of his internal and seemingly unconquerable flaws, frailties that brought about and continue to ensure his damnation.