Guy Gavriel Kay's Fionavar Tapestry trilogy comprises of The Summer Tree, The Wandering Fire and The Darkest Road. These books are set partly in contemporary Toronto (which is where our five lead characters are plucked from) but events are set mostly in the fantasy world of Fionavar. Fionavar is the first of all the worlds and Kay uses this concept to thread myths and sagas from our own world into the story as reflections of events in this, and other, versions.
This trilogy is an "epic fantasy" in the Tolkein tradition. This is probably an analogy used too frequently for this author as I learn today that Kay helped Christopher Tolkein edit The Silmarillion but it is one that feels apt especially as it has elves, dwarves, noble kings, powerful magicians and "ordinary" people thrust into the middle of a grand conflict between Good and Evil.
The edition I read was an omnibus and I rather liked reading the trilogy in this way as it didn't feel as if I was reading a trilogy of books but one large novel with sections. At one point, I admit, I was beginning to wonder just how many themes and characters one trilogy could sustain but Kay brought the story back together towards the end and re-connected (nearly all of) the strands in an ultimately satisfying way and without losing the impact of some of the sub-plots.
It's also worth mentioning that Kay does not shy away from killing, or hurting, major characters and this meant that I didn't feel as if anyone was "safe" which can be a plot issue when reading fantasy fiction. This is a, sometimes tear jerking, story of free will, forgiveness and ultimately the nobility of sacrifice for the common good and I would recommend it to fantasy fans looking for an epic read.