Sara Douglass' The Troy Game series. I've ranted and praised this one on my LJ.

The characters go through three separate lifetimes, with the first book of course setting in motion the circumstances behind them being reincarnated in the next two books. In the second book, most of the characters remember their past life, except for two, who remember over the course of the book. In the third book, everyone remembers from the outset, and that's when it really gets good because not only are the characters no longer caricatures of of people but become real people, this is also when all your expectations are turned around when one character says "You know what? I don't think I want to do what we've been planning for three lifetimes now."

The fourth book moves from one protagonist to the other, the one the reader has been conditioned to hate since book one, and in this one you learn to love the character because they've actually learned something over the centuries.

The first two books drove me bonkers, but Douglass' writing is good enough to have kept me engaged, and book three hooked me forever.