Malazan is definitely what I define all-encompassing. You have this insane and detailed and mostly consistently mythos as only a hardcore anthropologist could craft. The only thing you are missing out is the whack wait time on RR Martin. The hot twincest. And yeah the characters are for the most part caricatures and not nearly as fleshed out or developed as RR Martin's work (But that is because there is 5 billion of them and most of them awesome).
I'm a big fan. If you like something that's a little bit lighter on the fantasy then check out KJ Parker he's my other big fantasy guy along with Erikson. Start with the fencer trilogy, then the memory(? I forget exactly what its called) trilogy then the engineering trilogy. His latest stand alone book isnt as stellar his trilogies but still pretty awesome.