My favorite series from the past decade is Jasper Fforde’s Thursday Next books.
Steven Brust has several good fantasy series.
The Taltos series and the Phoenix Guards series. Taltos books are relatively short, told from the point of view of the protagonist. The Phoenix Guards books are an homage to the Dumas style of historical fiction. The first two books are remarkably similar to the Three Musketeers in style and storyline, actually.
Come to think of it, consider Dumas’ Three Musketeers cycle.
His Nursery Crime Division books are also highly entertaining. There’s only two of them last I knew, though. I’ve listened to each in audiobook form about three times now.
Agree on the Taltos - I have only read a couple but they are good. I forgot about them - so should go see if I can find some of the other titles.
What? No Honor Harrington books yet? Shame on you, people.
I haven’t gotten around to reading it yet, but I hear a lot of people echo what Taomist said; that the first book is the weakest, but that they love the series past that.
Ah! I’m a big fan, but I didn’t think of that because there was no miltary sci-fi mentioned by the OP. I do like Weber’s fantasy, the *Orfressa Cycle *though. The first two ( Oath of Swords and *War God’s Own *) are available at the Baen Free Library, under David Weber.
I’d plug Dave Duncan. He has several endlessly inventive fantasy series. I’d recommend the Gilden Chain (first book of King’s Blades series of 6) and Magic Casement (first in a series of 4, there is another series of 4 that’s a sequel and just as good). He’s prolific and every series is very different so if you don’t like one, there are others.
That’s precisely what I’ve heard as well, that it was kind of weak until the end, when everything started gelling.
I’ll third reading Jasper Fforde.
Also, if you haven’t read any Christopher Moore, I would highly recommend those. There are very few books that actually make me laugh out loud and most of his can make me roll.
Robert Crais has already been mentioned for detective novels, but I like Lee Child’s Jack Reacher books even better.
Good to know. Thanks for heads up in this vein from all who, um, heads upped. 
Just jumping in to recommend Brent Weeks’ Night Angel Trilogy. Very fun romp and the books are available online through the author’s website so you can give them a chance without buying them first.
A couple more detective ones.
All James Lee Burke’s Dave Robicheaux featured stories.
All the “Prey” series featuring John Sandford’s Lucas Davenport.
Casca: The Eternal Mercenary Series by Barry Sadler.
Some of the first 22 books are out of print. 23-31 have been penned by different authors with the approval of Sadler’s estate.
Callahan’s Crosstime Saloon - Spider Robinson.
It is part of a series, the rest of which I list from memory.
Time Travelers Strictly Cash
Callahan’s Secret
Callahan’s Con
Lady Slings The Booze
Callahan’s Key
Callahan’s Lady
Alexander McCall Smith’s The No. 1 Ladies’ Detective Agency books form a funny, engaging, wry mystery series set in Botswana: The No. 1 Ladies' Detective Agency - Wikipedia
Robert B. Parker’s Spenser series is uneven but at its best is very, very good hardboiled-with-a-heart-of-gold detective fiction: Spenser (character) - Wikipedia
Skip Callahan’s Con. Spider owed somebody money or something. It reeks. Callahan’s Key has its moments, but falls to pieces once they arrive in Key West.
Neil Gaiman.
If you’re not averse to graphic novels go for his Sandman series- Stephen King writes the forward to one of the volumes, so you should like it, as he seems to! The scope and plotting of the series makes it an amazing piece of literature- pictures or not.
If you’re looking for fantasy-* American Gods, Anansi Boys, Stardust *and *Neverwhere *are great.
He’s got a couple of collections of short stories and has written some children’s books as well (*The Graveyard Book *and Coraline are worth reading).
Good Omens, a comic fantasy collaboration between Gaiman and Terry Pratchett is very good.
Speaking of which- Discworld offers you more than 30 very funny, often touching books. Give it a go- if you don’t like one, try another (personally I’m not a fan of the Rincewind books).
I know you’re looking for series, but Susanna Clarke’s Jonathan Strange & Mr Norrell and her short story collection *The Ladies of Grace Adieu *are very good- they’re set in an alternative universe where magic and fairies exist and magicians helped England win the Napoleonic wars.
Boy, people ask for book recommendations and there’s always a Niagara Falls of answers!
I nominate, if you like police procedurals, Ed McBain and his 27th Precinct (?) novels about a bunch of coppers in a city not unlike New York. He must have written a hundred, starting in the men-who-wear-fedoras days up until the late '80s, or early '90s, when he died. Interesting to see how much more violent the criminals in his book grew as years went by. And oh, yeah, Elvis Cole by Robert Crais - same deal, starts out a Los Angeles wiseass and later novels veer into something close to tragedy.
You got that right!
Thanks for all the suggestions! Looks like the library near me has quite a few of the suggestions, so I will start there. 
few can match Swedish author Henning Mankell’s Detective Kurt Wallander series.
Faceless Killers, The Dogs of Riga, The White Lioness, Sidetracked, The fifth Woman, One Step Behind, Firewall and others.