The Night's Dawn trilogy by Peter F Hamilton - Very much the definition of the word epic as each book weighs in at around 1200 pages each, it's also an unusual combination of horror and sci-fi as the central conceit revolves around a one-off event causing a rip that allows the souls of the dead to possess the bodies of the living. It makes for a curious mix and allows for historical figures to be thrown into the future world, most notably Al Capone. While the overall ending may be slightly on the anti-climactic side, it's still an impressive trilogy, managing to juggle multiple plotlines and characters that you care about before bringing them all to a resolution.
Hyperion by Dan Simmons - Following a group of pilgrims on a journey to meet the near mythical killing machine the Shrike in the Time Tombs of Hyperion, this is very much a sci-fi Canterbury Tales, having characters such as the priest, the poet, the detective, the general and so on. Each pilgrim tells their own tale relating to why they have been chosen to visit the Shrike in the hopes of illuminating the reason behind their selection. It allows Simmons to tell different individual stories that all begin to weave together as they reach their destination and highly enjoyable it is, too.
Pretty much any Culture novel by Iain M Banks - Banks' science fiction novels still contain the humour combined with bleakness that you get in his "regular" novels, only this time transplanted to a detailed and fully realised future universe. There is no real first novel in the Culture series - you can read any one and it will tell you all you need to know about the universe for that particular story. It's only as you reads more of them that you begin to see the wider universe he's created. I like all the ones I've read but particular favourites are Against A Dark Background and Use Of Weapons.
Revelation Space by Alastair Reynolds - Reynolds is very keen on extrapolating current scientific theory to create a technically believable future (except when he needs the story to move on, of course). Much like the others, there's a real sense of detail gone into crafting this universe and a definite epic feel to the storylines, in terms of time as well as space.
So, if you're not overly into space opera, maybe give one of those a try. My advice would be to start out with Iain M Banks as he's probably the most easily accessible of them all and then, once you're hooked, the universe is the limit...
* I mean, seriously, if you haven't picked up on that by now, this is either your first visit (hello!) or you're just not really paying attention. Try and keep up.
** Who later dropped the Marshall and went into crime fiction.