HEXWOOD
No one is as they seem in this intricate, dizzying sci-fi tale (with Arthurian myths). Not even the protagonist can quite figure out what's going on, or who she is. What IS going on? And what's distorting reality?
THE CHRESTOMANCI SERIES
This is a loose series of books with only the powerful enchanter Chrestomanci to link them. Strange things happen-- feuding families, matches, magic, alternate worlds, frogs, witch-burning... In no particular order, they are: Charmed Life, The Lives of Christopher Chant, Witch Week and The Magicians of Caprona.
FIRE AND HEMLOCK
This is one of the more confusing ones (up there with Hexwood), and retells in a very surprising way the legend of Tam Lin.
THE DUET (for lack of better names)
Howl's Moving Castle and its sequel, Castle in the Air, are lighter, almost frivolous books. They're quite humorous, particularly as everyone bumbles about not knowing who their comrades really are. They're not terribly closely connected and can be read separately, but both are hilarious and, well, fun.
THE TOUGH GUIDE TO FANTASYLAND
This is a very clever "guide" in A-Z format which mocks in hilarous manners all the faults that many fantasies have-- the lack of ozone, insects, utterly obedient horses, the girl disguised as a boy...
DARKLORD OF DERKHOLM
This is set in a fantasy land which offers tours to our mundane world-- "pilgrimages" set up by the Darklord, who is chosen yearly. The natives are sick of the pesky tourists, and so choose a totally inept Darklord--but they have no idea how wrong things will go...
And other books by Diana Wynne Jones include: Deep Secret, which is an adult sci-fi which has to do with alternate universes with her usual twist, Aunt Maria-- a children's fantasy with the apparently harmless Aunt Maria thoroughly manipulating those around her though no one seems to realize it, and Eight Days of Luke which is children's fantasy based on Norse mythology. I believe she has a new book coming out set in the same world as Darklord called Year of the Griffin.