January's recommendation: Mary Gentle's quartet The Book of Ash. Individual titles are A Secret History, Carthage Ascendant, The Wild Machines, and Lost Burgundy.
What is the series? The closest description I can find is that it's an alternate history. It's more complicated than that, but explaining it in full would a) take a lot of time and b) give away half the point of the series, which is built partly on the idea that you don't know what exactly is going on. But I can be a bit less cryptic than that.
The story exists in three layers. The bulk of the text is a fairly ordinary (if you ignore the footnotes) third-person narrative about a fifteenth-century female mercenary captain named Ash. She bears a noticeable resemblance to Joan of Arc -- a resemblance which is acknowledged in the second layer of the story. You see, what you're reading most of the time is an academic book (now you know why there's footnotes) by a historian named Pierce Ratcliff. He is working on translating various medieval Lives of Ash and compiling them into a single narrative (which is what you're usually reading). His reason for doing this is twofold: first, the most recent such work is decades old, and second, he's found a new manuscript, not known to any previous historians working on Ash, and he wants to incorporate it into his book. So the story of Ash is framed by the story of Pierce, which in textual terms means that interspersed between the sections of the "translation" are copies of the e-mails Pierce exchanged with his editor, Anna Longman, while preparing the book for publication.
And then there's the third layer. The weird one. The one which you might miss if you're in a hurry to get to the story and page past the Note(s) to the Reader (there's two in my book, but I think only one in the Queen of Darkness's single-volume British copy) that begin the text. Those Notes aren't Mary Gentle talking to you; they're the publisher of Pierce's book talking to the audience of Pierce's book, and they say this:
The original 2001 edition of Dr. Pierce Ratcliff's ASH: THE LOST HISTORY OF BURGUNDY was withdrawn from the publisher's warehouses immediately before publication. All known copies were destroyed. Copies sent out for review were recalled, and pulped.
So right from the get-go you've got the question: why the hell was a history book about fifteenth-century Europe destroyed?
Answering that question takes four books, and it's an interesting ride.
It's an alternate history in that Ash never really existed; she's Mary Gentle's creation. There are other differences, too, which I won't describe in much detail (although they become apparent very early on in the series), but it's stuff like having an odd version of Christianity in operation, and so on. Mary Gentle knows her medieval warfare, though; she describes it right down to the smells, and sometimes you kind of wish she didn't. But it means the warfare comes across as real. I also like the fact that she doesn't default to pseudo-archaic English the way a lot of medieval-esque fantasy does; she has everybody speaking colloquial (often vulgar) English, and explains it in-text as Pierce's decision to represent the way Ash probably spoke in its modern equivalent. (And then he apologizes to his editor: "I'm afraid she does say 'Fuck' rather a lot.") Such dialogue exists side-by-side with terms for pieces of armor I didn't know existed (and I know more about armor than your average layperson); it should be jarring, but I think it works.
I will warn, however, that you should not pick this series up if you don't have time to read four books right now. Let's just say that . . . odd stuff starts happening in the second layer of the story. And Gentle is diabolical about timing said odd stuff in such a way that you head off into the next section of translation as if Ash's gunner Angelotti had loaded you into one of his cannon and aimed you at the text.
So. Check the books out from your local library, or buy them if for some bizarre reason you trust my taste. And then if you like them, pass the recommendation on to your friends.