I actually recentley attempted to start the Malazan Book of the Fallen series, and only made it through 1 1/2 of the books. It is definitley not for everyone. My main issues with the series is that it throws SO much at you (and never explains any of it), and the complete lack of character depth. Personally, I find it incredibly hard to stay engaged in a story when I don't care about the characters, and the Malazan series throwns 800 POV's at you, all in which have no character backstory or depth. If you like large, expansive and complex worlds, than it's up your alley. But if you like engaging characters you can get invested in, then stay clear.
The Ice and Fire series, IMO, is like the Malazan series but better written. GRRM created a deep and vast world, full of characters that all have backstories and depth to them. I highly recommend reading the books and not taking the TV series literally...the Books are much better IMO.