Some of my favorites, in no particular order:

1. Thieves' World
2. Jack Vance's Dying Earth and Lyonesse
3. Gene Wolfe's Book of the New Sun
4. Earwa (Scott Bakker's Prince of Nothing series)
5. Brandon Sanderson's Mistborn

Earwa especially is just so freakin' realistic, and extra geeks points to Bakker for including a 100+ page glossary/encyclopedia in the third book, The Thousandfold Thought.