I would recommend picking which world you want to read novels from. Eberron and Forgotten Realms are the ones that Wizards is currently putting out. In addition, there were novel lines for Dark Sun, Ravenloft, Dragonlance, Greyhawk, and Mystara.
If you want to look at Eberron, Keith Baker's Dreaming Dark trilogy is a good place to start. My favorites of the ones I have read is the Heirs of Ash trilogy. I also enjoyed Night of the Long Shadows.
If you are going with the Forgotten Realms, I would recommend picking up the anthologies (Realms of Magic, Realms of Infamy, etc.), as that will let you see what some of the authors are like. Personally, I am a fan of Elaine Cunningham, and highly recommend Elfshadow and Elfsong. I also like R.A. Salvatore, although I did not read much of Drizzt after the Icewind Dale Trilogy and the prequel novels (Homeland, Sojourn, and Exile). Forgotten Realms has a lot of novels, and if you want to go that route you should probably start a thread specifically about it.
For Greyhawk, Gygax's Gord the Rogue novels are worth reading, while the Rose Estes should probably be avoided. There were some more recent novels named for (and based on) some of the early D&D modules. I remember enjoying the ones written by Paul Kidd (White Plume Mountain, Descent into the Depths of the Earth, and Queen of the Demonweb Pits), but don't really remember the others.
The Dark Sun Prism Pentad was a fun read for me, but gets a lot of negative reviews from those that played in the world. The Dark Sun novels varied in quality, and I can't recall any of them that stood out in my mind.
Dragonlance had a lot of good novels, and I would recommend the original trilogy. If you like them, then look into going farther into the world. Again, it would be worth starting its own thread to get reviews from people who have read them.
As someone else mentioned, Raymond Feist's Riftwar Saga is based on D&D. I enjoyed them a great deal when I was younger, but haven't read them in years.
Novels that inspired early D&D can be an enjoyable read. Fritz Lieber's Fafhrd and the grey Mouser, Tolkien's Lord of the Rings, and Robert E. Howard's Conan novels were particularly strong influences on the game. H.P. Lovecraft's Cthulhu works also served as inspiration for aspects of the game.