The Lord of the Rings and Hobbit, by J.R.R. Tolkien: Actually the first true fantasy saga that I read as a kid. I was mesmerized, especially after that bit about hanging around with Tom Bombadil, which was a bit slow paced for a kid
The Rift War series, by Raymond E. Feist: Amazing material! A long series of novels that have a wealth of background for the entire setting.
The Belgariad and Malloreon, by David Eddings: Two series of books that are tied together, and the story is very well told
The Second Sons trilogy and The Hythrun Chronicles, by Jennifer Fallon: Incredibly mesmerizing settings and stories. Check these out! :D
A Song of Ice and Fire, by George R.R. Martin: Awesome stuff. Seriously, if you haven't read the novels, get to it!
The Shannara series, by Terry Brooks: A great read and as the starting point is an apocalyptic Earth, makes you think ;)
Ender's Game, by Orson Scott Card: Great stuff, and well thought-out technological bits as well :D