This series is my favorite series by ANY author.
I enjoyed GoM the first time I read it, and after each new book comes out, I start the series from the beginning again. Actually I think I have read GoM 8 times in the last 4 years or so.
One thing you will realize only after reading several of the books, that while they pretty much stand on thier own as individual stories, it is definately a tightly coupled series. Don't expect question in any one book to be answered in that book or even the next book. Or rather, there might be superficial answers, but the true revealing may not be apparent until a later book.
I found that each time I read the books, more subtle details emerge and that my understanding expands greatly. The level of detail spread over this series is literally unimaginable.
Some people have suggested that the pace of GoM was a bit disjointed at times, but I didn't find it so. Then again I read very fast, so pacing rarely is a problem regardless of the book I'm reading.
Another series that I am reminded of when reading this series is the Book of Swords series by Saberhagen., although the complexity of the Malazan series far outstrips ANY series that I have read.