Stieg Larsson's Millenium Trilogy was a fantastic set of books. I happened to read it partly while living in Sweden, which was a nice bonus, since I could actually walk down the streets and visit the places Stieg Larsson actually uses throughout the stories.

The primary reason that these books are worth reading, are:
1. The series is gritty and dark.
2. The characters are complex and interesting. (Two examples are the criminal Ronald Neidermann who is a hulking assassinn who cannot feel pain, but happens to be scared of the dark, and Liesbeth Salander, an extreme introvert who is hostile to nearly everyone to the point of being unlikeable, a trained boxer, with a photgraphic memory/computer wiz.)
3. The stories are interwoven together in interesting and complex ways that very much draw the reader in

Anyway, definitely worth reading if you want something escapist and Law-and-Order-SUV-esque.