That anthology mentioned earlier includes the following:
The Dying Earth (compilation of short stories)
The Eyes of the Overworld (first Cugel novel)
Cugel the Clever (second Cugel novel)
Rhialto the Marvellous (novel about a band of wizards)
Despite them having been written in that order, each is standalone enough that you can read them in any order and not miss out on anything. (I mention that only in case you can only find one of the later books in the library; don't feel you have to read them in order!) Oh, and I've also seen Morreion, which is a novella-sized excerpt from Rhialto the Marvellous, as an illustrated, oversized book as well.
The Lyonesse trilogy consists of the following:
Suldrun's Garden
The Green Pearl
Madouc
These, however, are a trilogy in the sense that they should be read in that order. Lyonesse is a little odd (for Vance) in that it's set in Arthurian times; most of Vance's fantasy works are set in the far future - so far, in fact, that the Sun could sputter out at any moment; hence "The Dying Earth."
They are all excellent reads, I might add, but I might be slightly biased in that Jack Vance is my all-time favorite author, bar none.
Johnathan