There's a book "series" that I absolutely love. I put series in parenthesis, because it's only two books, but it's split into two books within each book, so it's more like four books. I don't know if you'd classify it was fantasy--I would. I guess the best way to describe it is fairytales for adults. They weave in and out of each other, and are brilliant.

The first book is call The Orphan's Tales: In the Night Garden by Catherynne M. Valente.