I love the fiction in most games, it seems to add a quick break while reading the rules and at the same time provides a look into the vision that the creators of the game have for it.
Vampire, SLA Industries, Star Wars (WEG) and Talislanta would not be the games they are without the fiction in the pages of the books.
As far as novels go, I did really enjoy the Dark Elf and Icewindale trilogies from RA Salvatore. Those were, however, the only truly gaming related fiction I ever read.
I read the Xanth books, the Shannara series, the Complete Book of Swords and many other non-game related books that have a distinct effect on the games I run, but they do not qualify for the tie-in.
While I feel that the fiction is important, I do prefer either the flash fiction or the short stories in the gaming books over a full-blown novel. My attention is on the game, my players and my NPCs and I try to stay focused on that. Also, I would much rather produce ideas from the books themselves than novels related to the game.