http://www.amazon.com/Game-Thrones-Song-Fire-Book/dp/0553386...
GRRM manages to create an alternate world that feels real, where characters have flaws, nothing is black and white, and the good guys don't always (or even frequently) win. By far the best book (and series) I've ever read.
I didn't buy them as a set - I bought them one by one.
Hope that helps. Fun books.