Roger Zelazny's Amber Omnibus is my choice too.
I read them years ago, a book at a time, as I borrowed them from a friend. i wasn't really interested in reading them, but he kept telling me I would love them. I did.
I was so into the story a few times that I couldn't put the book down and go to sleep. I kept turning the light on again to just read a few more pages.
Then I bought the paperback omnibus a few years later and read it all again. I plan on rereading the omnibus again, but may have to get the digital version, as the paperback omnibus is so big and heavy.