The Thrawn books by Tim Zahn were the best.
Agreed I got annoyed when they killed of Chewi and Anakin in the later series.
I just finished reading the rest, and Thrawn still kicked ass the most. The only interesting part of the rest of the EU books were when Jacen traversed time and saw something about his family's past or some shit, then turns to the dark side or something. Idk, I didn't really pay to much attention while reading those books.
Speaking of Tim Zahn, he's writing a Terminator prequel book.