It depends on the shared universe and how it appeals to one.
Agree w/ fjtorres that _Wild Cards_ is quite good and well-worth reading.
Never got into Thieves World or Heroes in Hell --- not sure why, since I usually like fantasy. I've read some Forgotten Realms books, but have gotten burned out on the continual universe reset.
An interesting alternative to this sort of thing, w/ the same feel, but arguably better quality are the short story collections where authors are invited into a universe for some reason --- _Songs of the Dying Earth_ edited by George R. R. Martin is quite good.
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