Tales of the Dying Earth: all four Dying Earth novels by Jack Vance (The Dying Earth, The Eyes of the Overworld, Cugel's Saga and Rhialto the Marvellous) in one volume. A key 20th Century fantasy work. His equally excellent Lyonesse Trilogy can also be found in one volume editions.
The Gormenghast Trilogy: the classic Mervyn Peake fantasy masterwork (second only to Lord of the Rings in importance for mid-20th Century fantasy) in one volume.
Shadow and Claw, and Sword and Citadel: Gene Wolfe's classic four-volume Book of the New Sun saga in two volumes.
For something lighter, RA Salvatore's various Drizzt books have been collected in nice boxed sets. The later ones are unreadably bad, but the Icewind Dale and Dark Elf trilogies are entertaining.
All of Robert E. Howard's Conan short stories and novellas are available in both one-volume editions (usually called The Conan Chronicles) and two-volume editions (the UK ones are called The People of the Black Circle and The Hour of the Dragon).
Many of Terry Pratchett and David Gemmell's books can be found in omnibus editions.