I didn't have that problem, because my father was (and still is) a big-time reader, and introduced me to so many series that I had my pick of among some of the best. He got me into David Eddings, Terry Brooks, Raymond E. Feist, Dan Simmons, and so many other authors, but I think (hope) he'd agree with me that the ones I loved the most to the point that I bought the pretty terrible video game tie-in would be The Death Gate Cycle, the seven book series by Margaret Weis and Tracy Hickman that, for some unexplainable reason, isn't bigger than their Dragonlance stuff.
Here's the brief rundown.
Ages ago there was a war between two feuding groups of magic-users, the Sartan and the Patryns. The Sartan won and banished the Patryns to a place called the Labyrinth, a place meant to educate those trapped within to make them rehabilitated, but instead it became twisted and turned into a giant deathtrap, twisting itself around, changing routes, and trying to murder everything within. One Patryn finally escapes and soon starts making excursions back into the labyrinth to save his own people.
Another Patryn, named Haplo, gets selected to be sent past the labyrinth to four worlds, each one representing one of the four elements (air, water, fire, earth) and start to sow discontent and chaos, preparing for the eventual return of the Patryns. He meets an interesting group of people in each world, gets caught up in their struggles, and slowly starts to come to his own conclusions about what place Patryns have in the universe as a whole.
There are so many reasons why I love these books. They were the first time I was introduced to the idea of what might in some eyes be an "anti-hero" and a "villain" in others being the, pardon the usage, "hero" of a series because there were struggles bigger than him that had to be dealt with. Other "heroes" through the books include an assassin, some smugglers, necromancers, and other people who don't really define the bright and "shining knight" imagery of most fantasy settings.
Each world is lovingly developed with an insane amount of detail considering that often the next book makes little to no reference to the one before it other than Haplo's journey continuing (with his trusty dog, of course). The worlds do reappear in the later books (as do many of the characters), but they're all memorable enough that when they do show up, they're easy to remember. I don't remember there being any scenes where I would just roll my eyes and try to flip forward a few pages to see if I could still follow the story.
The heritages of the different races (elf, human, and dwarf, naturally) on each world varies widely, and each culture in itself is interesting to learn about. Whether it's the oppressed dwarves on the world of air or the actual peaceful coexistence between them on the world of water, there is room for plenty of other stories in these worlds. The fact that Weis and Hickman managed to tell one that encompassed all of them without making the whole thing feel small says a lot to their ability to tell a great story.
You can probably find these books pretty cheap on Amazon or maybe even a large box store. They hold up extremely well and still are regularly read by me when I want something familiar and comforting to go back to, and each time I do I find myself pondering and exploring more ideas the books present in my mind, filling in holes as to how I think things work.
There's a blueprint here for a rich, detailed world, and a lot of the shiny parts are already laid out to catch the eye, but considering how well-built their other world became, there was no reason this one couldn't have been just as full of add-ons, supplemental products, and maybe even its own role-playing game.
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