Given the original poster's requests I'm wondering why people are recommending things like the Belgariad (the size of the books I forget, but it IS five books, and personally, not very good ones IMO.)
But that is just my opinion... enough of that. Some single-volume fantasy novels I really really enjoy:
City of Bones by Martha Wells. Desert fantasy setting centuries after a magical apocalypse. "Relic" hunters, thieves, and mad sorcerers... this is a really great book.
The Death of the Necromancer, also by Martha Wells. Pseudo-Victorian setting in which a gentleman thief, building up a master plan to gain revenge on the man who framed his adopted father for murder, starts stumbling upon truly horrific happenings...
Bridge of Birds, by Barry Hughart. Set in ancient China, a fantastic quest which ranges from extremely funny to tragic, always very entertaining.
The Tower of Fear, by Glen Cook. If you're interested in trying the Black Company books but are unsure of starting to invest in a long series (although the first three Black Company books form a complete trilogy) this is by the same author and I recommend it HIGHLY. It's set in a city that was once ruled by an evil priest-king but now occupied by conquerors. The remaining servants of the priest-king have a dark plot, while the city's resistance movement is gearing up to overthrow the conquerors. Then there's the occupiers, and the desert mercenaries they hired who have their own agenda... and in between are some ordinary people pulled into the fray. Complex, frequently dark, very cool story.
Zaukie's recommend of Guy Gavriel Kay (that's the order of his names

... Pratchett... excellent stuff.
Guards, Guards is one of the best first Discworld books to read. If you happen to like Shakespeare,
Wyrd Sisters is also extremely fun, as Pratchett takes Macbeth, turns it all around, and has a lot of fun with it...
Oh, for G. G. Kay, maybe a good first book of his to read would be
Tigana. It has more fantasy elements than some of his more recent books, and a really great story involving people struggling against the wizards who conquered their peninsula.