My favorite would definitely be the ThrawN Trilogy. Grand Admiral Thrawn and Joruus C'baoth were two of the most spectacular characters featured in the Expanded Universe. While the New Jedi Order is promsing, Thrawn is a character of unparalleled calibur and nothing that can be thought up in the new ones will be quite as awesome as he was.

I also was quite fond of the introduction to Mara Jade and the whole revelation of what her vision of "you will kill Luke Skywalker!" evolved into. The books are fantastic.