I'd also suggest The Belgariad by David Eddings. His subsequent works aren't quite as good, but the original is quite fun. Also, if you don't mind a little darker and more sci-fi, the Traveller series by John Twelve Hawks is excellent. And David Gemmell's writing is something to not miss. (my favorite: Hero in the Shadows).

Oh, and I heartily agree with Neverwhere. Quite the masterpiece.