I usually prefer SF to fantasy, and I tend to avoid those huge series that I don't think I'll find all of. Do I have to read all the Elric stories for them to make sense? I shall note that however and look for it at the library. :-)

My favourite fantasy novel is Empire of the East by Fred Saberhagen which is really three novels in one volume in my edition: The Broken Lands, The Black Mountains, Ardneh's World).