Hmmm ... All time favourites?
That would have to be Neil Gaiman's American Gods, only problem with that one is that the second time, it's a re-read...
Kim Stanley Robinson's Mars Trilogy, hands down the finest in "hard" sci-fi I've ever come across (eat your heart out, Isaac Asimov!)
and Neal Stephenson's Baroque Cycle, which is riveting, hilarious, massive and engrossing, all by turns.
Even managed to cover fantasy, sci-fi and period...
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"I'd rather be sorry for something I did, than for something I didn't do" Kris Kristofferson