You should really try Steven Erikson's Malazan Book of the Fallen. A very good novel with very deep and compelling worldbuilding!
So here is my list (in no particular order) :
World of the Malazan Book of the Fallen (by S. Erikson)
Earwa (Prince of Nothing by R. Scott Bakker)
and, naturally, the still unconquered King of Worldbuilding and Myth
Middle-Earth (by J.R.R. Tolkien)