Check the recommendations thread. But here's a short list just to get you started:
1) Malazan Book of the Fallen by Steven Erikson (starts with Gardens of the Moon)
2) Viriconium by M John Harrison
3) New Crobuzon books by China Mieville (Perdido Street Station, the Scar, Iron Council)
4) A Song of Ice and Fire by George RR Martin (starts with A Game of Thrones)
5) Elric - Michael Moorcock
6) Prince of Nothing Series by R Scott Bakker (starts with the Darkness that Comes Before)
7) Fafhrd and Gray Mouser Tales by Fritz Leiber
8) The Book of the New Sun by Gene Wolfe (starts with Shadow of the Torturer)
9) Empire series - Raymond E Feist/Janny Wurts
10) Sword of Shadows by J V Jones (starts with A Cavern of Black Ice)