Yeah, Zahn's work is easily the best. I used to read all the Star Wars books, but then they just flooded the market with so much stuff I just couldn't be bothered to read it all. Now I just pick and choose stuff that takes my fancy, mostly anything new Zahn brings out, and the odd other gem that jumps out at me. I've not bothered with any of the New Jedi Order stuff yet.
I think I stopped reading the stuff regularly around the end of the X-Wing Series.
Favorite stuff has to be the Thrawn Trilogy without a doubt, such a rich embelishment on an already rich universe. His recent one Outbound Flight is also interesting and worth a look. I'll probably take a peak at Allegiance next, looks promising.
You should also check out the Dark Horse comics they regularly have some gems, obviously the Dark Empire, and Crimson Empire series were good, but the new Republic and Empire on going series are well worth a look too.