His Dark Materials: The Amber Spyglass by Phillip Pullman

Wow. Nothing is as it seemed at the start of this trilogy. The characters are so ambiguous, the themes are so much more than you'd expect from books that are marketed towards children. I won't go into any details about this for fear of giving anything away.

These books, and particularly this last one, blew me away. Highly recommended.

His Dark Materials: The Subtle Knife by Phillip Pullman

The second book in the series: Will stepped through a window in the air, to find himself in the frightening world of Cittágazze. There he meets Lyra and the two must find Will's father while avoiding the blood-thirsty children and soul-eating Spectres that haunt their new world.

His Dark Materials: Northern Lights by Phillip Pullman

The first book in the series. Set in an alternate world, Lyra and her daemon find themselves on a quest to the North with the gyptians to rescue all the children that the Gobblers have stolen. While she's about it, she also wants to rescue her father from the panserborne, find the city in the Aurora and discover the secret of the Dust. This is one of the most complex, well-written children's books I have ever read.