I guess if we’re talking strictly about fiction written to be a tie-in to a game, the answer would have to be the original Dragonlance trilogy, because it’s the only game fiction I’ve ever read. And, strictly speaking, I didn’t read it as game fiction—I read it because a friend recommended it, and didn’t buy any Dragonlance game products until years later, and never played in that world. So while I was aware there was a connection, I never really thought about it as “game fiction”.
However, if you count fiction that ties in with games indirectly (specifically, the Doctor Who RPG), and don’t mind that it’s not in print format, then my favorite would be one of the Big Finish Doctor Who audiobooks. That’s as close as I’ve gotten to game fiction in the last ~3 decades. I couldn’t tell you a specific one off the top of my head, but all have been good and some have been amazing.