Books! A Song of Ice and FIre is what Game of Thrones was based on, and from what I recall hearing there's a lot more to it because of the TV show going it's own direction at the end. Never hurts to check out the source.
If you want more modern stuff, there's the Bahzell/War God's Own series by David Weber(yes I like his books):
Wheel of Time is said to be just as long and intricate as Game of Thrones(and I think also is getting a TV series?):
Michael Moorcock's Eternal Champion series(and particularly the parts featuring Elric of Melniboné) was one of the original influences behind D&D, and by proxy most modern Fantasy:
Mercedes Lackey's Heralds of Valdemar series I think might be getting a TV series? it's another I've only heard good things about:
If you like Dragons, the Age of Fire books focus on three dragon siblings as the protagonists. I enjoyed it, but *gestures to dragonself*. The final(6th) book also had quite a few editing mistakes for some reason.
ANd I would be remiss not to mention Roger Zelazny's Amber series, which is another classic, and available in a complete omnibus volume:
*edit* I can't believe I almost forgot this one! The Thieves World series of anthologies. It's not a novel series per say, but a bunch of writers working in the same setting with their own characters that all interact across the various short stories to tell a much longer overall tale of the city of Sanctuary.