I love Tamora Pierce, as I've mentioned numerous times before. The Tortall series is one of my absolute favorites, even though I haven't read the Beka Cooper series yet (it's on the list!)
This is a collection of stories, most based in Tortall and its surrounding countries. Almost all had Tamora Pierce's awesome female characters as the main character, but there were at least a few present in the different series.
The Kitten tale was probably my favorite, since as it should be obvious by now, I love dragons. It was also nice to get into her head a bit after seeing her through Daine's eyes for so long.
I did also enjoy the Nawat story, although my memory of that series was rusty since I've only read it once. I have been meaning to re-read it for a while and it was fun to see Alanna's grandchildren (even though she didn't appear).
Other favorites were Elder Brother, The Hidden Girl (both of which I'd like to see pop up in the main series books), Student of Ostriches, and Plain Magic. I did like Lost, but it always throws me a bit to have more advanced science (and I love math) in high fantasy books.