Malazan: Book of the Fallen

How are these books? I picked up the first in hardcover for like four dollars the other day, and I'm thinking about prioritizing it over some Gaiman books and Perdido Street Station and reading it after A Clash of Kings.

I hear they've got a really good story and some kick-ass fight scenes. Is it so? Also, are they about the same characters or are they all separate stories set in the same world?