One of my favorite series of all times starts with:

Kushiels Dart is the first in the Kushiels Legacy series. The first 3 books in the series are about Phedra and the last 3 are about Phedra's adopted son Imriel. Although this series has a slow beginning it is worth sticking with it as it is full of everything, fantasy, romance, adventure, and I'm sure the list goes on. Many people have a hard time sticking through the book to get to the good part. Like many books that are the first in the series it has to set you up to let you know about the world and the characters in it.
Here is a brief description:

This brilliant and daring debut, set in a skewed Renaissance world (people worship Jesus-like "Blessed Elua" but also demigods), catapults Carey immediately into the top rank of fantasy novelists. In the character of Phedre no Delaunay, "a whore's unwanted get" sold into indentured servitude in opulent Night Court, the author has created a particularly strong and memorable female lead, and has surrounded her with a large and varied cast, from nobles and priests to soldiers and peasants. An engrossing plot focuses first on court intrigue and treachery, then, in a surprising shift, on high adventure, travel in barbarian lands including Alba (England) and war. Two demigods rule Phedre: Naamah, for sensual love; and Kushiel, for sado-masochistic pain, his "dart" being a blood spot in Phedre's eye. Not everyone will go for Phedre's graphic if elegantly described sexual encounters, which usually involve the infliction of pain, whether from lashing, branding or even cutting. Phedre, however, is no cliched sexpot but a complex character motivated by religious zeal. In one amusing scene, a group of sailors on the march chants: "Whip us till we're on the floor, we'll turn around and ask for more, we're Phedre's Boys!" At the end, the heroine reminds one of an equally strong-minded sister whose home was Tara. No mere feminist novel, this is an assured and magnificent book that will appeal to both male and female readers.