Overall... Have too say Lord of the rings (cheating a bit since there technicaly 3). Also enjoy the rest of Tolkien's work.
However, Tolkien himself intended for it to be one. The publisher wouldn't have it, insisted on splitting them up, and Tolkien basically argued with them right up to the end. (And he was not happy about the third book being called Return of the King. He wanted it to be titled War of the Ring, but again, the publishers didn't want "war" in the title.)
So, it is (technically) one book (officially).
I've always thought War of the Ring sounded so much betterHowever, Tolkien himself intended for it to be one. The publisher wouldn't have it, insisted on splitting them up, and Tolkien basically argued with them right up to the end. (And he was not happy about the third book being called Return of the King. He wanted it to be titled War of the Ring, but again, the publishers didn't want "war" in the title.)
So, it is (technically) one book (officially).
Off the top of my head: Twenty Thousand Leagues Under the Seas, Heart of Darkness, Doctor Zhivago...