A perfect example of a good story, well told.
There are many epic adventures out there: Baldur's Gate, the Final Fantasies, Ultima (though perhaps not number 9) and so forth. What makes this one shine is the cast and the manner in which the story unfolds.
It's hard to give praise without referring to individual moments, and to discuss those would deny the experience to those yet to encounter them; I can at least say that the relationships between the characters aren't always quite as they at first appear; and that discovering the back stories those who follow you is very rewarding, especially Ignus and of course the Nameless one himself.
Of course none of these characters would be quite so interesting if it weren't for the canvas on which they are painted; Sigil, and indeed the planes and the beliefs which sustain their very existence are well fleshed out, from creating someone through convincing enough people that he exists, to watching an entire town being torn from it's home plane due to the actions of its residents.
The rest I leave for you to discover, and I recommend you do so with haste.