I read too damn much, so a list of my fave books would take up half a page. But my absolute favorite has to be 'The Black Jewels Trilogy' by Anne Bishop. It's 3 books: 'Daughter of the Blood', 'Heir To The Shadows', and 'Queen of the Darkness'.
I wouldn't recommend it to everyone; it paints Saetan and Hell in a sympathetic light that I as a witch find unique and refreshing, while one Christian friend I recommended it to said it was blasphemous. It's about a female oriented magickal society, where females with strong magickal gifts rule, and males serve them, both physically, emotionally, and sexually. Their main law, between male and female, is for the male to cherish, honor, and protect. The second law is to serve. The third law is to obey. And if obedience interferes with the carrying out of the first two, they toss obedience out the window. The conflict arises when males begin to believe that they are stronger than females, and they start taking advantage and subjugating females, which doesn't work in their society because the females really are the focal point of their society, both physically and magickally. Anne Bishop writes with a uniquely insightful look into the subject as well as a subtle touch of humor as the High Lord of Hell finds himself trying to teach a powerful young Witch how to do the most basic spells like levitation, vanishing, etc. I woudn't recommend it to everyone, but its a must read for anyone with an open mind.
Just my two cents.
Oh, and Jacqueline Carey's 'Kushiel's Legacy' trilogy comes in a very close second.