Fantasy needs research. First of all, this post is excluding historical fantasy which needs tons of research.
The first thing you need for most fantasy is a setting. The setting is built usually (or always) with aspects of our world. This means in order to build a world, you must know your world first. Not an easy task. Secondly, if you are placing it in a different time than ours (which the majority of fantasy writers do) you need to have some idea about the times. You need to know how politics worked back then, you need to know what people ate, what jobs people did, what people wore, etc. etc. etc.
From there there can be many, many more things to research. First of all, you need to build the world. For that you need geography, you need to know how the world looks like, you need to be able to "see" the world. You need to know which parts of the land are settled, how many people settle in one spot, where to raw materials come from, etc.
After that, there are tons of things to research more specific to your work. If you are using aspects of other works, like authors such as Tolkien, Brooks, and Jordan do, you will need to know those things. Usually that means burying your nose in mythology books for hours on end. You may need to research a point in history that your book is matching, such as George R. R. Martin researching the War of the Roses. Or perhaps you are completely unique, and are trying to use nothing from outside. You still will need to know about your world. You still will need mental or visual notes about the history of your world, the geography, demography, sociology, politics, and "laws" of your world. It is never easy to write anything, and fantasy does require research.
As for urban fantasy or fantasy set on our world, there still is a need for research. You still will need to map out the city, create laws for magic and other fantastical elements, know the place you are writing about. You see this in works by authors like Charles de Lint who know the city they are working on better than a real city.
There is always research to be done, and I would think it takes more work to write a good fantasy than it does to write regular fiction. Just think about it; To write fiction you need a plot. OK, so you have a boy who had a nervous breakdown walking around in New York. From there, all you need to do is know a little about New York, know your character, and know where the story is going to take him. Now lets say we tell this story in a fantasy world. You still need a city, but instead of just looking at maps and city books, you need to write them. You need to create the city, to know the city better than you know a real city. After that, you need to know about the magic, you need to know what is different about this city than a real city. After that, the work is about the same as a regular fiction book. You still need to take the steps to write the book, but fantasy required that extra work at the beginning.
So, do you need research and pre-work? Defiantly.
