Umberto Eco springs to mind, though I am not sure how much of his apparent erudition is the product of specific research and how much comes from just being exceptionally well-read.
I don't read all that much fiction, really, but 'Foucault's Pendulum' by Eco definitely struck me as possessing an astonishing depth of knowledge regarding its theological/mystical, philosophical, and occult themes, as well as being amusingly prescient in its satire. If you haven't read it, it satirises the pseudo-historical conspiracy theories peddled by 'The Holy Blood and the Holy Grail' and later 'The Da Vinci Code'. Unlike those two books, however, it has that sense of self-awareness and above all understanding of the subject and its historical and literary context that make it effective on a philosophical and fictional level.
It's the kind of novel that almost requires one of those 'A Guide to...' books--it references quite possibly hundreds of religions, sects, cults, and societies, it alludes to numerous other works, is replete with musings by characters on Kabbalah, gnosticism, and various other 'mystic' groups and ideologies, and it frequently quotes obscure (and in some cases for all I know, fictional) books and manuscripts.
Maybe it's what might have resulted from Jorge Luis Borges eating the Library of Alexandria and then vomiting over Dan Brown's computer.
It's an exhausting book, in many ways, but I do love Eco. I could imagine that a lot of people would find him terribly pretentious, but he has enough of a sense of humour and such well-crafted prose that, to me, he is absolved of any guilt for his unashamed intellectualism.