I'll strongly second Malraux's recommendation of Malazan Books of the Fallen, by Steven Erikson. The best epic fantasy series going, imo. Each book is doorstop huge, and the cast of characters and plot events are very large and very complex. But, if you have any love for epic fantasy, it's hard not to get immediately swept up in the grandness and scope of Erikson's vision.
First book is Gardens of the Moon.
Other great series --
-- If you like Robin Hobb's Liveship trilogy (for me, her weakest), and you haven't tried her Assassin trilogy, you should. Wonderful books, wonderful characters, and although the tone is at times fairly depressing, they are not overwhelmingly so. Her Fool trilogy, a later sequel of three to the Assassin books, is also recommended. Another added bonus is that all three trilogies take place in the same world, so the world you're seeing in the Liveship series has some shared context with these other series.
First book is Assassin's Apprentice.
-- Another staple epic fantasy series is George R.R. Martin's A Song of Ice and Fire. Epic and engrossing. Warning: really, really, really dark at times. Not a series for the faint of the heart. Another complaint is that it's been taking him a very long time in-between books (Neil Gaiman recently wrote an amusing blog post about this subject, castigating fans who demand a faster turnaround time...I'm too lazy to link it however), but if you're just getting started, there are still four large and wonderful (and depressing, I can't emphasize that enough) books to get through before you run out of material.
First book is A Game of Thrones
-- Switching gears - Terry Pratchett's Discworld series. An unbelievable amount of books (approaching close to 30 now, I believe), and fairly amazing how often Pratchett delivers a wonderful book. The series starts out as humorous fantasy parody, but around the tenth book or so, Pratchett really comes into his own as a wonderful story teller and commentator on life, who just happens to write humorous and engrossing fantasy stories. Impossible to describe briefly, but there are numerous web resources to give you more information, if you are so inclined.
First book is Colour of Magic (although it's a poor starting point, as the above-mentioned web resources will tell you)
-- Steven Brust's Jhereg series is another great set of books. Also hard to describe, and Brust tends to be more experimental than some of the other authors listed above, but he's always entertaining.
First book is Jhereg.
-- My perhaps most controversial recommendation is Robert Jordan's A Wheel of Time. Often lambasted (somewhat deservedly) for some of the later volumes in which not much happens, it still represents a vision and scope and execution rarely pulled off in fantasy books. On the merits of the first three books alone, I think it deserves a recommendation. The series continues even after the author's death, with the next book (presumably third from the end) coming out later this year.
First book is Eye of the World.
Some other quicker recommendations --
- Glen Cook (most people like his Black Company books, I personally like his Garrett, P.I. books more)
- Megan Whalen Turner (a trilogy with the first book, The Thief. Aimed at a more teenaged or younger audience, still is a wonderful set of books)
- Lois McMaster Bujold (I don't recommend her fantasy, but her sci-fi series about Miles Vorkosigan is a wonderful read)
- Neil Gaiman (I like his Sandman comic books better than his fantasy novels...but I loved Sandman, so his fantasy novels are still pretty good. American Gods is a good starting pickup)