In Sailing to Sarantium, Guy Gavriel Kay sets you up. Then in Lord of Emperors, he rips your heart out and hands it back to you with love.

"One lived in the world. Sought what slender grace was to be found, however one defined such things, and accepted that Jad’s creation—or Ludan’s, the zubir’s, or that of any other worshipped power—was not a place where mortal men and women were meant to find tranquil ease. There might be other worlds—some taught as much—better than this, where such harmonies were possible, but he didn’t live in one and was not ever going to live in one."