It's difficult, and somewhat arbitrary, to make a short list of favourite books. It would be even more difficult and arbitrary to list them in order of preference, so I haven't tried: these are in reverse chronological order. I've reviewed some of these books, and provided links to the reviews. See also short stories.
The Peshawar Lancers (S. M. Stirling, 2002)
Island in the sea of time (S. M. Stirling, 1998)
Perchance (Michael Kurland, 1988)
Across realtime (Vernor Vinge, 1984-86)
The Ivanhoe gambit (Simon Hawke, 1984)
The mote in God's eye (Larry Niven & Jerry Pournelle, 1974)
Patterns of chaos (Colin Kapp, 1972)
New celebrations: Star Well, The thurb revolution, Masque world (Alexei Panshin, 1968-69)
Babel-17 (Samuel R. Delany, 1967)
World of ptavvs (Larry Niven, 1966)
The mind readers (Margery Allingham, 1965)
Lord Kalvan of otherwhen (H. Beam Piper, 1965)
Time is the simplest thing (Clifford Simak, 1961)
Tiger! Tiger! (Alfred Bester, 1956)
Mission of gravity (Hal Clement, 1953)
Going postal (Terry Pratchett, 2004)
The World of the Five Gods series (Lois McMaster Bujold, 2001-present)
The Eyre affair (Jasper Fforde, 2001)
Wizard's bane (Rick Cook, 1989)
Dirk Gently's holistic detective agency (Douglas Adams, 1987)
Lord Darcy (Randall Garrett, 1964-79)
Worlds apart (Richard Cowper, 1974)
The lord of the rings (J. R. R. Tolkien, 1955)
All the Mowgli stories (Rudyard Kipling, 1895)
The silver pigs (Lindsey Davis, 1989)
Crocodile on the sandbank (Elizabeth Peters, 1975)
The compleet Molesworth (Geoffrey Willans & Ronald Searle, 1953-58)
The commodore (C. S. Forester, 1945)
The picts and the martyrs (Arthur Ransome, 1942)
No bed for Bacon (Caryl Brahms & S. J. Simon, 1941)
Sweet danger (Margery Allingham, 1933)
Leave it to Psmith (P. G. Wodehouse, 1923)
Stalky & Co. (Rudyard Kipling, 1899)
Arms and the man (George Bernard Shaw, 1894)
Learning Python (Mark Lutz & David Ascher, 1999-2004)
Empire (Niall Ferguson, 2003)
Guns, germs and steel (Jared Diamond, 1997)
Food in history (Reay Tannahill, 1973, 1988)
Free to choose (Milton and Rose Friedman, 1979-80)
Jane Grigson's vegetable book (Jane Grigson, 1978-79)
The machinery of freedom (David Friedman, 1973-2014)