I guess the first answer we are missing is Which TYPE of Fantasy?
It's hardly fair to put urban fantasy in with epic fantasy etc...
So here are some thoughts.
Frank Herbert's DUNE
Robert Jordans, Wheel of Time,
and potentially Brandon Sanderson's newest series are the best worldbuilding good characters, great story I've read. This is really based on the world building, without suffering the others, story and characters.
But great reads in Fantasy are:
Sanderson's Mistborn is a good read.
The best trilogy I ever read was
Brent Weeks in his Night Angel Trilogy
The Hobbs trilogies are really well done stories. But some people don't relate to her writing style as much because she's got some character depth and some like (less detailed) faster reading, writing.
Those people would like the Anne McCafrey dragon rider series, in all it's incarnations, and Raymond feist's books, any of them.
Stephen R. Donaldson's Thomas Covenant series, any of them, are excellent reads. They are both epic and strong Character developed books.
I can go on and on and on. But, I'll spare you. 
Hi! I wandered in here as I do from time to time, and checked out this thread, which I think I have read before. I'm more of a mystery and classics reader, but I do sometimes like some science fiction, especially fantasy (and participated here when you read The Sword of Shannara, although I was a bit disappointed when the original plan to read the whole first trilogy was abandoned after the first book).
I can't really say that these are necessarily among the best of "all time", just the ones that I have read and enjoyed:
- Tolkien - Hobbit/Lord of the Rings. Of course!
- Terry Brooks - Shannara books. I read the first eight books, through First King of Shannara, but haven't read the later ones. I do have the Word and Void trilogy, but after reading the first one, I haven't continued (yet). It just doesn't grab me like the earlier works do.
- Anne McCaffrey - Pern books. Although I find it difficult to follow when the books jump around chronologically. Someday I would like to read them in the story's chronological order, rather than publishing order.
- Probably much more sci-fi than fantasy, but I also liked Asimov's Foundation series, including the sequel Foundation's Edge, but I see he had written still more after that, which I haven't read.
- Stephen R. Donaldson - The Chronicles of Thomas Covenant. I've read the first two Chronicles trilogies; I see he's written a further Covenant series within the past decade.
- Stephen R. Donaldson - Mordant's Need. I haven't seen anyone else mention this 2-book series yet, so that's my contribution. I really loved these, probably even more than the Covenant books.
The Mirror of Her Dreams (Mordant's Need Series #1)
A Man Rides Through (Mordant's Need Series #2)
Fricka wrote:Some of you have already mentioned TH White's The Once and Future King, and The Mists of Avalon by Marion Zimmer Bradley. I will add to that Mary Stewart's Merlin/Arthurian trilogy(with a fourth book, The Wicked Day, added on later)Begin with The Crystal Cave. Lloyd Alexander also has a wonderful YA epic series featuring The Black Cauldron. (Can you tell I'm a sucker for Arthurian legend and stories based on the same?)
Hi, Fricka! I also have The Mists of Avalon, and the Mary Stewart series. When I got them, all four books were in the series, and there wasn't that much of a gap (not more than between the others) before The Wicked Day, but then she added a fifth about twelve years later, The Prince and the Pilgrim, which I have never read. I love all that Arthurian stuff! Although White's books The Once and Future King and The Book of Merlyn have been sitting on my TBR shelf for quite a while and I haven't gotten to them yet.
I was particularly fond of the Mistborn series by Sanderson. I also liked GRRM's Song of Fire and Ice series, although I'm waiting for A Dance With Dragons to come out before I start A Feast for Crows. 
KC
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