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The trouble with (fantasy) series
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For Janny the Wars of Light and Shadow is long, complex and IMO brilliant. The last book in the series to be published soon. It is one of the few fantasy that encourages and requires multiple readings and a good bit of reader input.
CJ Cherryh is my all time favorite SFF author. She has never disappointed. She has several fantasy series. It's hard to pick one, but I'd suggest The Fortress Series.

I guess, to clarify, I don't think a fantasy has to be outright philosophical in nature. However, if it possesses some kind of rational, internally consistent moral/ethical underpinning (regardless of what school of thought that is), it gives more depth to the story. Even if you have to scrutinize pretty carefully as a reader to recognize it.
I realize what I just wrote is an ambiguous mess, but, oh well...

So what you're saying is "up" can be "down" and "down" can be "up" as long as it's consistent and recognizable as the construct. Maybe even more to the point is "up" can be "squirrel" and "down" can be "rollerskate key" but they damn well better be "squirrel" and "rollerskate key" every time!
How's that for a mess?
Books mentioned in this topic
Escape From Hell! (other topics)City of Saints and Madmen (other topics)
The Curse of Chalion (other topics)
Paladin of Souls (other topics)
The Tough Guide to Fantasyland (other topics)
More...
Authors mentioned in this topic
C.J. Cherryh (other topics)Lois McMaster Bujold (other topics)
Janny Wurts (other topics)
C.J. Cherryh (other topics)
Jack McDevitt (other topics)
Tolkien's work is unique in many ways, but I would recommend Escape from Hell! and City of Saints and Madmen. Not maybe exactly philosophical but definitely books that make you think about the world. And from what I remember I found Lois McMaster Bujold's world(s) quite flat and unispiring but it has been years since I read the books.