Kay writes the best heroic fantasy ever. One might argue that Tolkein remains the best heroic fantasist, but Tolkein's stories drag in places (say, in the middle bits of The Two Towers). All of Kay's novels except the Fionavar Tapestry have been set in worlds based on actual history, which means that they come out a lot more detailed and realistic than most worlds created from whole cloth. (Again, one might argue that there's something nobler about working from scratch; but I think the results speak for themselves. And it's not as if Kay's approach were a cop-out; good research is hard work.)
Sailing to Sarantium is labelled, "Book One of She Sarantine Mosaic", which I presume is meant to be a trilogy. It's a good story in its own right, but it spends most of its attention on exposition, and does a marvelous job. Intrigue, gods, economics, art...a rich, well, mosaic of all the facets that make up a world. It's done a great job of making me hungry for the next book of the trilogy.
Interestingly enough, it's set in the same world as The Lions of Al-Rassan, but several hundred years earlier, before the time of Ashar (though there are hints that it might not be too long before).