A Game of Thrones is just amazingly good.
I agree with Crothian on Thieves' World. Good stuff, and great fun. Typical of Green Ronin, I guess.

Oathsworn too - it's quite a different experience, and worth a look.
Conan is cool. Then again, of
course Conan is cool. It's Conan!
I've heard many good things about the Iron Kingdoms setting.
Legends of Excalibur and Legends of the Samurai are excellent, though not very D&D, obviously.
Some of the True20 settings are / look fantastic. I definitely recommend at least having a look at a few of them. I only know of nine at the moment (though there may well be more already), but each has its merits.
I'm waiting and hoping for Avadnu to come out as a complete setting. Either way, the Avadnu books to date are some of my favourite d20 fantasy books, the Broken Isles being the latest and my particular fave.
There's also the Diamond Throne setting of Arcana Unearthed / Arcana Evolved fame, of course. It has much to offer, too.
That's some of the better ones I can think of atm.