The problem I have with series books, like the Dresden Files mentioned by Dozernut, is that I'm cheap and get them from the library. For some reason, the library never has the whole series. Sometimes that's not important, but for some series if you don't read them in sequence you don't understand some of the lines. The other problem is that if the series is fairly new, I read faster than the author and end up waiting so long between books that I forget story lines and such. The big one for me like that was the Wheel of Time series. By the time I got some of those new books I couldn't remember who half the characters were and what they had done. Then, of course, most series end, and if they were good I then have to change gears and find something else to take their place.
I read all the books in the Sharpe series by Bernard Cornwell, at least all in the library. They were entertaining, though they got a bit repetitive after a while.
Chuck