The Anubis Murders was first published in 1992 and then reprinted in 2007 by Paizo's Planet Stories. The latter edition comes equipped with an introduction by Dragon Magazine's Erik Mona that discusses both Gary Gygax's influences and his unique position as an influence.
Mr. Mona refers to Mr. Gygax's most famous creation, Dungeons & Dragons, as "the ultimate pastiche, allowing hundreds of thousands of ordinary readers to create their own stories before backdrops inspired by Edgar Rice Burroughs's lost worlds or H.P. Lovecraft's crumbling ruined cities". He goes on to explain that Mr. Gygax then took the next step and wrote his own sword & sorcery pastiche with the stories of Gord the Rogue and his adventures in the D&D land of Greyhawk.
Gord's adventures continued even after Gygax's relationship with TSR disintegrated. The enterprising rogue (Gord, not Gygax) winds up in new worlds, suspiciously similar to those in Mr. Gygax's brand-new "New Infinities" RPG system. A pastiche character has pastiche adventures in a world that's a pastiche of a pastiche. Any more layers of post-modernity and it would've ended up in the Tate Modern. Instead, a sulky Gygax used his character to explode (literally) the Greyhawk world in his final Gord adventure - a cheeky raised-finger appreciated by a devout audience of dozens.
The Anubis Murders is, for what's it worth, more sparing on both the introversion and the petulance. The book is still set in an RPG game world, but this time it is linked to Mr. Gygax's "Dangerous Journeys" RPG. The story follows Magister Setne Inhetep, wizard-priest of Aegypt and dilettante of the mystery. Setne is accompanied by Rachelle, his foxy young bodyguard and personal Watson.
The book begins with the murder of a powerful sorcerer. An attempt to summon an air elemental backfires and the conjurer is devoured by a demon instead. The scene set, the reader is then whisked to Setne and Rachelle's vacation in sunny "Iberia". After some nude water-frolicking with his bodyguard, the wizard is interrupted by the arrival of three delegates from "Avillon". The Avillonese (Avillonian?) need Setne's help. It seems that the conjurer-snacking wasn't an isolated incident. An eldritch terrorist known as "The Master of Jackals" has been blackmailing the many kings and dukes of "Aeropa". To refuse TMoJ is to invite disaster. The murder of the powerful wizard was merely a demonstration of TMoJ's unstoppable power. Pay up - or else.
Although Rachelle is keen to go forth and fight evil, Setne's curiosity remains unpiqued until the Avillonians link TMoJ to a member of Setne's native "Aegyptian" pantheon: Anubis. The jackel-headed god isn't a bad guy, so Setne feels compelled to go forth and defend his divine honor.
The mystery, such as it is, thickens. Setne is himself blamed in a wave of anti-Aegyptian sentiment. He also uncovers a strange cult - supposedly of Anubis, but, upon scratching the surface, seemingly of some darker power. Rachelle, despite being a supposedly-invincible warrior, is promptly kidnapped and spends most of the book as a hostage, leaving the wizard on his own. This is for the best, as the scenes between Setne (the near-immortal) and Rachelle (the persistently under-dressed) have a distinctly Gorean element to them. No matter how you paint it, old men buying five year old girls at the market and grooming them into sexual partners? Not romantic, just creepy.
Despite being set up as a mystery, this is no more a novel of detection than your average Twitter feed. The who and the how of the central crime is unsolvable to the reader - especially since a last-chapter twist introduces completely new villains into the mix. There's certainly a conspiracy involved, but Mr. Gygax prefers to explode now and explain later. Setne magically blasts his way across the landscape, pausing intermittently to recap some of his more cryptic maneuvers. Mr. Gygax's style glorifies the means rather than the result - what Setne accomplishes is of far less interest than the components, reagents and wands he used to do it.
Mr. Gygax is no mystery writer, but he is one of the finest imaginations when it comes to the detailed systemization of magic. Fortunately, in what might be the book's saving grace, the practice of magic is core to the crimes committed. By writing the story about spellcasting, the author has the excuse to prattle on endlessly about occult mechanics. There's enough relevance to keep from being entirely self-indulgent, and, to be honest, there are less interesting topics ("spellbook" fiction rather than "kitchen sink"). If a supposed mystery has to be a thinly-veiled introduction to some random topic, it might as well be magic. The Anubis Murders is an inferior work of fiction and a great introduction to the Player's Handbook.
Bizarrely, the authorial decision I found most off-putting involved the setting. The adventure takes Setne all through Avillon, including the city of "Camelaugh" and the lands of "Cymru" and "Caledonia". The other Aeropean countries (including "Skandia" in the north) go unvisited but are oft-referenced. Everything is exactly as you'd picture. The Avillonian people are Arthurian and Celtic ("Kelltic"), the Aegyptians build big pyramids, the "Teutons" are stubborn and the "Phonecians" build ships. (Honestly, that last one bothers me most of all. That's a typo run rampant.) There's also an air of undeserved self-congratulation about the entire thing - tiny little touches to prove that Mr. Gygax knows more from the World Book Encyclopedia than you do.
A fantasy world should either wholly absorb the reader or absent itself entirely - it should never be a distraction. Setne isn't actually a bad character. The Aegyptian is slightly cheeky and a wee bit arrogant - not wildly out of place on the Howard/Leiber spectrum of sword & sorcery protagonists. However, he's certainly not so compelling that he can overcome Mr. Gygax's misplaced devotion to world-building. Or world-appropriating, as the case may be.
At the conclusion of The Anubis Murders, the reader has only a vague sense of whodunnit and why, but is swimming in hows and wheres. It is, in essence, game tie-in fiction. Ignore the plot, buy the supplement. And if you don't like the story? Buy the rulebook and write your own. You too can blow stuff up like Setne can! (Slave girls not included.)