Oh I thought of one - the Cemeteries of Amalo series by Sarah Monette. The premise is there's a guy that can kind of commune to the dead and he travels around this sort of magical steampunk-era city solving mysteries. It is occasionally spooky and intense but the overall vibe is very cozy.
Apart from that, definitely Chronicles of Narnia as some people suggested. Although I thought they had a very bittersweet feeling to them. My favorite one for coziness would probably be A Horse and his Boy.