There is Eliezer Yudkowsky's Harry Potter fan fiction "Harry Potter and the Methods of Rationality" (HPMOR), which conveys many ideas and concepts that are relevant to EA: http://www.hpmor.com/

Please note that there is also a fan-produced audio version of HPMOR: https://hpmorpodcast.com/

There's a subreddit called /r/rational which discusses and shares "rational" and "rationalist" fiction. Many of these include EA themes, both explicitly and implicitly. 
 

Some I'd recommend along with the ones others here have already shared include Worth the Candle, an original fiction about a teenager who gets transported into a fantasy world of his own creation and has to overcome personal challenges like grief and societal ones like complex coordination problems, Animorphs: The Reckoning, a fanfic that re-imagines the alien-body-snatchers story of the original through a much more serious and thoughtful lens, and my own fanfic, Pokemon: The Origin of Species, which explores the pokemon world from a more rational/EA lens while also teaching some psychology and therapy.
 

There's also comics like Strong Female Protagonist, which is about a superheroine who quits fighting crime and goes to college because she realizes she doesn't know how to "actually" save the world.

The only work I know of which is explicitly effective altruist is A Common Sense Guide to Doing the Most Good, but many works on r/rational share a similar philosophy as many EAs.

UNSONG by Scott Alexander is good if you want a EAish fanfic of the Bible/ modern politics.

I love Miranda's fanfic series "A Song for Two Voices" for EA-themed fantasy.  https://www.archiveofourown.org/series/936480 

"Major themes include the complexity of thinking about ethics, the challenge of taking on problems in the world that seem insurmountable, and trying to do good while dealing with serious mental health issues. The characters do not start out masters of rationality, but they do learn from their mistakes and grow as people, and do their best to help support each other."

Compared to HPMOR, I think "A Song for Two Voices" does a much better job representing the EA community. I.e. trying to do good as a community with limited resources instead of a solitary hero single-handedly saving the day. (Not to bash HPMOR - it's also an excellent read!) 

I put down some fiction with a bit of a longtermist bent that I enjoyed here. 

Ted Chiang's novella / short story "The Lifecycle of Software Objects" essentially deals with the question of according AI moral personhood. It is an incredibly powerful story that brought to life many ideas I had only considered in the abstract earlier.

Here are a few other forum posts on the general topic of fiction and EA.

 I had a browse through all of these a while ago and tried to find the most promising books on each subtopic. The ones that stood out are:

Global Poverty: Barry and Øverland - Responding to Global Poverty: Harm, Responsibility, and Agency

Animal Welfare: Jacy Reese - The End of Animal Farming: How Scientists, Entrepreneurs, and Activists Are Building an Animal-Free Food System

Existential Risk: Toby Ord - The Precipice: Existential Risk and the Future of Humanity