1. Jhereg, by Steven Brust
2. Nine Princes in Amber, Roger Zelazny
3. Camber of Culdi, Katherine Kurtz
4. Dragonflight, Anne McCaffrey (feel free to debate whether these are sci-fi or fantasy )
5. Thieve's World, Robert Asprin, ed.
edit: Ok, Black Company is a damn fine choice, too. And I'd take On Stranger Tides over Anubis Gates (and Declare over the rest, although it's on the edge of what I'd consider 'fantasy').
Storm Front by Jim Butcher
Jhereg by Steven Brust
Ill Met in Lankhmar by Fritz Leiber
Songs of Earth and Power by Greg Bear
The Last Coin by James P. Blaylock
Just off the top of my head. There are many other books I'd mention, but they are first books in a series and it really wouldn't be right to mention them.
American Gods by Neil Gaiman - modern fantasy/mythical mix Hell to Pay by Simon R. Green - urban/dark fantasy. Best book of the series in my opinion, and of the same type as the Dresden Files - Detective Urban Fantasy Furies of Calderon by Jim Butcher - Nice twist on roman culture injected into a magical setting The Golden Compass by Philp Pullman - Good story for any age, and a movie is coming out here soon The Homeward Bounders byDiana Wynne Jones - A older book I read as a kid, it is very good and focuses on what happens when you get to transverse worlds, and don't get any say in it.
Now, if I wanted to be mean, I have two books which each have a series of books collected into them. Thus, they are "one" book.