Jonathan Strange and Mister Norrell By Susanna Clarke
I'm really, really surprised with many people here's taste for well-written fantasy stories that no one has recommended this book. An alternate history/fantasy novel, it imagine a past in which magicians shaped the course of English history for hundreds of years, then disapeared until one shows up in the midst of the Napoleanic Wars...and then another one joins him, and there you have the title characters. Probably the best treatment of magic, fairies and other creepyness that I've read in...a long time, maybe since I read Charles Williams and George MacDonald. Really solid characterization, funny bits, etc., plus often amusing (Lord Byron), sometimes disturbing (Mad King George III) cameos by historical figures.
Master and Commander By Patrick O'Brian and all the subsequent books, including Post Captain, Desolation Island and The Surgeon's Mate
Sure, you probably saw the movie. Which was a good movie, all things considered, but it doesn't hold a candle to the novels. While I though that the movie's best point was how visceral the action scenes looked and felt and how prettily shot everything was, the novel's greatest strength are their characters, particularly Jack Aubrey and Stephen Maturin, the two leads. The first novel isn't the best one, but it's a very good book in its own right, and it introduces the reader to the characters and their foibles, like Jack's sailorly weakness for loose women and Maturin's passion for natural philosophy. One of the greatest pleasures of the series is seeing how the characters evolve over the years, as Jack becomes less boistrous and more dignified and reserved and Maturin becomes more cynical and more of an unlikely badass, so reading every novel you can get your hands on is heartily recomended. High points are the introduction of the women in Jack and Stephen's lives, Sophie and Diana, in Post Captain, a voyage where nothing goes right in Desolation Island and an exciting prison break, as well as Stephen's affections for Diana coming to a head, in The Surgeon's Mate. The movie was an odd mash-up of various novels, including Master and Commander, the Far Side of the World and bits from Desolation Island.