Malazan is a tricky series in that people inevitably love or hate it. Erikson doesn't tell his story in a straightforward, chronological way. For frame of reference:
Combined with a huge cast of characters and a shockingly in-depth world...it can get confusing. I remember having a lot of trouble in the first few books. It gets easier once you become familiar with the world and its terminology.
It's similar to GRRM's ASoIaF in that it nails a dark, gritty atmosphere but whereas Martin has a more low-fantasy world, Malazan is full of magic and gods who like to intervene (resurrection, making pawns, etc). Also, Malazan has a lot of characters but at the expense of depth, unfortunately. You probably won't find well-written characters on the level of ASoIaF. So if you prefer fantasy that doesn't rely on magic, stay away from these books.
The closest parallel I can think of is Glen Cook's The Black Company. Chances are if you enjoy that, you'll like Malazan.