Yay for books.
Top series most def A Song of Ice and Fire, mostly because even when I'm reading sample chapters for the 6th book the series is still throwing rediculous curveballs out of absolutely nowhere. (I mean really, anyone who's read a very particular WoW sample chapter will understand what I'm talking about). It's also got an absolutely beautiful amount of worldbuilding, really only second to the Lord of the Rings in my opinion. Lugrif gave a good enough description of it that I don't think I can add anything else really.
I haven't really gotten very far in it, but Stephen King's The Dark Tower is also brilliant.
Out of the other series on display, I would recommend Harry Potter; Warriors; Percy Jackson and all related literature; The Hunger Games (far more so than the movies, in this case); and Mortal Instruments.