All of my favourite stories tend to be ones which stretch to more than one volume. I think it's pretty telling when an author continually returns to the same set of characters and extends their stories by continually throwing them into new adventures that push them farther than they thought they could go. It shows that the author loves the characters that he or she has created and to some extent that those characters have taken on a life of their own.
Raymond E Feist's Magician series, is an excellent example of just that. Of the initial trilogy: Magician, Silverthorn and A Darkness at Sethanon, Silverthorn is by far the best of the three in my opinion (there definitely is something about second volumes isn't there - Empire Strikes Back, Aliens, Winter Soldier, The Two Towers, T2, The Dark Knight. It's easier to list the films than it is the books). After the initial world-builiding done in Magician, Feist gets fully into his stride with this second novel. It's the shortest of the original trilogy at only 400 pages and I was gripped from the first page. I read the entire book in one sitting! The sequence that has stuck in my mind even thirty years after reading it, is the scene where Arutha, Jimmy and their band are trapped and forced to fight their way through a horde of undead zombie-fied soldiers.