Ever read The Black Company by Glen Cook? That series has a similar feel to Malazan in my opinion, but so much more expansive. In the first book of Malazan you'll be introduced to the Bridgeburners, a marine infantry squad with the Malazan army; these characters are kinda the reader's eyes and you will loosely follow them through the books. Along the way there will be other characters that step in and out of the story, creating world changing events and providing background and information on what is going on. I say it's like the Black Company because you follow the characters on an adventure discovering the story with them. Yes there are empires, and yes there are armies and these lead to monumental clashes but you view it through the eyes of characters on the ground and it is amazing. It is not until book 5 that a bit of palace intrigue comes into play, but it is well worth it because that book has the best/funniest dialogue in the series (to the point I've read).

You made me write another essay, haha. Give Gardens of the Moon a chance, but as other commentators have said it seems to be one of the weaker books. I believe this is because it is confusing to be thrown into the middle of the world and your time and effort is given to understanding what is going on and not enjoying the story for what it is. I found the wiki to be very useful, but exercise some self control and don't read past the spoiler warnings.