The whole "Sten" series is excellent. I'm surprised it doesn't get more notice, there's a lot of really great stuff in there.
I also have a few others (some of which I've posted elsewhere):
"On My Way to Paradise" by Dave Wolverton
"Armor" by John Steakley
"Synners" by Pat Cadigan (basically anything by her, but this is my fave)
Anything by Stephen Brust, especially "Cowboy Feng's Space Bar and Grille" and his "Vlad Taltos" series
Zelazny has been mentioned a lot, and of course "Amber" is great, but I quite liked "Jack of Shadows" and "Doorways in the Sand"
Lots by Walter Jon Williams such as "Angel Station", "Hardwired", "Aristoi", and "Implied Spaces"
YA books by William Sleator, especially "House of Stairs" and "Singularity" and "The Interstellar Pig"
I'm sure there's more but I can't think of them right now.