My personal favourite was the "Guards! Guards!" and "Men at Arms" story arc - though I hear there's a third?
I don;t know why I really liked these - maybe because sometimes Prachett has a habit of sometimes waffling, or maybe he takes the caricature too far. In these books it was a simple set of stories, about simple people, but leanly told.
The part that I find most memorable, actually, is when the guards captain is at a posh dinner party with his other half, and he makes an observation that the rich guests make a point of talking about trying to talk about subjects they obviously knew nothing about. I really liked that observation.
Any others, though? Rincewind stories or Nanny Ogg, etc?