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Over the past month and a half I've devoured the Merchant Princes series by Charles Stross. Originally released as 6 books, they are also available as 3 books (which is what the author originally wanted) and which I've linked to below. I've read Stross before and wasn't terribly happy, but I devoured this series. On multiple occasions I had to force myself to slow down as I was so excited to see what happened next my eyes just kept racing ahead.
Broadly, the series is Sliders meets Game of Thrones meets Tom Clancy. The books revolved around a woman who discovers she is descended from royalty - but royalty in an alternate universe where history is somewhat different than our own. I'm a sucker for Alt-History books in general, but this series brings in Alt-History with a dose of military/spy action and political/economic discussions too. I was worried the series would fall apart towards the end but it never let up.