The Malazan Book of the Fallen - Steven Erikson
Gardens of the Moon
Memories of Ice
House of Chains
It's difficult to overstate how good this series is. It's gritty, it's funny, it's dark and it's moving; Erikson has created a huge and complex world with a pantheon, numerous Elder civilisations (extinct, still warring or both) and intricate human politics, all intertwined and supported by a unique concept of magic, the Warrens. There are so many plots on so many levels that it makes the best circus plate-spinner look like a bumbling amateur.
There is a long, cold war between Light, Dark and Shadow (and no, Light are not the good guys). The new god of Shadow is trying to meddle in human politics, but his throne is far from stable - the warren of Shadow has shattered and many factions are fighting over the pieces. Monsters from extinct elder races are reappearing and causing havoc; gods are created and destroyed; an ancient wanderer with terrible powers is roaming the land... and the Malazans are trying to build an empire.
Amid all this inter-species war and celestial power-play, it's hard to pinpoint which plot is central, but throughout the series it always seems to come back to the human involvement. The Malazan Empire is fairly new but rapidly expanding, as Empress Laseen's troops conquer further and further afield, bringing cynical but mostly benevolent civilisation to the unwashed masses. There is a lot of political ambiguity in the conquests - the Malazan invaders may be promoting trade and stamping out the local cruelties, but the morals and motives of their commanders are extremely suspect.
The Malazan storyline mostly follows the Bridgeburners, a small company of soldiers and mages in the Malaz army. The characters are simply but effectively sketched - the sheer number of plots and sub-plots prevents much in-depth character-building, but Erikson still manages to make them believable and likeable. They've all got great names, too - Whiskeyjack, Fiddler, Mallet, Quick Ben - which helps to contrast the no-nonsense world of the front line with the more esoteric and magical events going on elsewhere.
The series isn't finished yet - I think there are 3 or 4 more books to go - and there's been no sign of a drop in quality so far. If you haven't tried Erikson yet, you've got a guarantee of several weeks' good reading right now and the promise of plenty more in the future, and what more could anyone want?
Go on, go out and buy these books now. And read them. It's OK, I'll wait.