Book Of The New Sun - Gene Wolfe (I actually don't like him that much, but other people seem to)
All of those Stephen Baxter books that fit together. Which I also didn't like them much.

If it was sci-fi with a sense of history and gravitas, I'd say John M. Harrison's Virconium books. But it's a bit dodgy to call that sci-fi in the sense I think you mean.