It's an exceptionally good series. The first book is also. . .well, I won't say the weakest, but it begins a structure that flows through the series.
The Malazan books toss you unprepared into a complicated, very fully realized world with lots of history and unusual fantasy-magical stuff going on. Each book tends to begin by introducing a vast array of characters, some old, some new, dropping them into innumerable plots, and then, beautifully and inexplicably, tying it all together into a glorious, mind-expanding resolution. The series itself does the very same thing. So book 1 sets up a lot of things that are to come later, and the first third of the book or so is quite hard for fantasy. It's very worth the battle, though.
It's sort of grimdark, boots-on-the-ground fantasy with all sorts of high-flying, demi-god level stuff happening just off-camera. The characters are generally wonderful and often hilarious, the settings are wondrous and astonishing, the prose is surprisingly artful and breathtakingly "information dense" (seriously, a re-read of the series shows you just how much foreshadowing and planning goes into every single sentence), the plotting is exceedingly deliberate and endlessly surprising, and the worldbuilding is absolutely tip-top-notch.
Probably my favorite fantasy series ever, and--yes, like you said--it's already finished. After shopping Book 1 around as a possible film for a decade, Erikson got published and immediately churned out the remaining 9 volumes over the course of a decade or so.
His partner in this whole endeavor was Ian C. Esslemont, who built the world with him in the 1980s. Esslemont wrote some "Novels of the Malazan Empire" that fill in some gaps, explore other parts of the world, and generally expand upon and improve the core 10-book series, but they're not, strictly speaking, necessary reading. Esslemont's also not quite as talented a writer as Erikson, but the two series pair so well together that I manage to deal with it :)