Used to like them, still have a small collection. The notables series I can think of are as follows:
1) Blood Sword (5 books)
From the guys who brought you Dragon Warriors, this series is interesting in many ways. It has four characters, the Warrior, the Trickster, the Sage and the Enchanter, which is close to Fighter, Thief, uh... Sage and Wizard

Also interesting because it supports up to 4 players cooperating to "win", with each player playing one of the four characters. Very nice flavour and setting, though I really didn't like how the series ended
2) Way of the Tiger (6 books)
Fun series about a Ninja. Your adventures lead to you becoming the ruler of city. One book deals with decision-making and politicking, next book deals with seeking alliances and leading your people to war against an invading army. Sadly, like Blood Sword, I detested the ending
3) Eternal Champions (2 books)
Avoid this. IIRC, it's also by The Way of the Tiger guys, so a similar combat system is present. However, the adventure itself is quite bland...
4) Fighting Fantasy
I bought quite a few of these and so did my cousins. Most are self-contained stories, but a few are linked, like I believe Trial of Champions leads to Armies of Death. Seems like they've rereleased and renumbered them, so I think quite a large chunk of it will need to be sourced via Ebay. I do hate quite a few of them for requiring specific solutions to win. Thus, you either die, or get a bad ending if you failed to get one specific item or task done in the book. Deathtrap Dungeon and Portal of Evil annoyed me for this, though I suppose it leads to "replayability" as you blunder around trying the other routes to figure out the right path
Other people have already covered Sorcery, so I won't repeat that.
5) Duelmasters
Each Duelmaster set consists of two books which form a nice picture when put together side by side

IIRC, it's written by the Way of the Tiger guys as well and shares the same gameworld. You need another player (not sure if it's possible to play solitaire mode) to duel against. A story will be set that pits you against the other player and you take turns to explore the world and defeat the other player. When moving around in the game, you announce a code given on the paragraph to the other player to confirm if they are in the same area. Unfortunately, against experienced readers, this does reveal your exact location, so I got creamed by my cousins who owned the books a bit too often for my liking
I remember 4 series, first was a duel between Magi, second a monstrous thing known as the Archveult hunting down an escapee for sport, third a battle between two generals (after gathering allies) and fourth was a dungeon/arena thingie.
I've been pondering buying them over Ebay, but I've yet to do some. Often it's because they're missing a book. I liked this lots, though since the focus is defeating the other player, there isn't much of a plot/quest.
6) Grailquest
Adventures in a twisted Arthurian legend, you are summoned by Merlin to protect the Realm. With your annoying sword, Excalibur Junior, you will do just that or die repeatedly trying at the dreaded paragraph 14

Some good books, some not so good.
Buy? Possibly. Try one first, before plunging in, and try not to compare too much

My recommendations are in the order:
1) Blood Sword
2) Lone Wolf (less points because it's longer

)
3) Way of the Tiger
4) Sorcery
5) Grailquest
I do like Fighting Fantasy, but I feel the other 5 series mentioned have an edge due to developed story and world. My favourite picks for the old Fighting Fantasy books are as follows:
11. Talisman of Death
- takes place in the Way of the Tiger universe, with some characters from there as well!
17. Appointment with F.E.A.R.
- play a superhero, pick from one of 4 powers, Super Strength, I believe Psionics, Gadgettering and... uh, I can't remember the last one

)
20. Sword of the Samurai
- A samurai on a quest to regain his liege's daikatana. The Honour bit may be pushing it a little, but I enjoyed the content a lot.
28. Phantoms of Fear
- With the power to enter the Dream realm by slipping into a trance, your wood elf character must stop an evil demon lord from... well, I don't remember

Definitely nothing nice and happy
36. Armies of Death
- Don't remember too much about this besides some cruddy army battle rules. I believe I did like the scenario though. I lost my copy long ago
37. Portal of Evil
- Mining problems turn out to be much, much more. I would love this more if not for the number of necessary items you need to actually beat this one
38. Vault of the Vampire
- Save a maiden from a vampire lord! Lots of colourful characters and options make this very fun to read.
54. Legend of Zagor
- After "Warlock of Firetop Mountain" and "Return to Firetop Mountain", Zagor is once again a threat. Pick one of four characters with different abilities (iirc, Barbarian, Dwarf, Adventurer, Wizard) and defeat Zagor once and for all. Some printing errors in terms of pages to go to, but fairly epic.