Cyteen by C. J. Cherryh: the first 100 pages or so are tough, you get dumped into the story without any explanation what is going on. But when you get through that it is difficult to stop reading. One of the best I have read.

Also great: Lyonesse by Jack Vance, the Amber series by Roger Zelazny, Hyperion series by Dan Simmons, Asimov's Foundation.