This is fast becoming my new favourite fantasy series. In a way, it is quite similar to Lord of the Rings. The author (Steven Erikson) is a scholar (palaeontologist/archaeologist) who uses a lot of his expertise in crafting the setting of his books, similar to how Tolkien injected his philology and knowledge of myths into his works.
There's also an amazing amount of depth and detail in the world, but never does the author spoonfeed it to the reader; just like with Tolkien the reader knows that there is a massive amount of background lore to the story, but most of it slowly trickles through as the reader progresses through the story.
There's a nice focus on realistic, morally grey characters, but never do they become the complete focus of the works so that it devolves into a soap opera (my main quibble with most modern fantasy, e.g. Wheel of Time, Song of Ice and Fire), in fact few characters are all important to the story and few of them are important enough to survive until the end.
Malazan I believe is the flagship of a new wave in fantasy fiction that focus more on realism rather than the escapism of high fantasy that was at the forefront of fantasy ever since the genre was reawakened in the 80s.