I'm finding it unaccountably difficult to write a good review for these books. "Unaccountably" because I know what I would like to say -- that these books are incredible, phenomenal, stupendous. Yet honesty compels me to admit that there are a significant number of people who have disliked these books; there are even those who abandoned Kay after having read these, his first works. Yet, if acclaim for the trilogy is not universal, it is nevertheless quite fervent. Those who like these books love them. But those who dislike them would quite happily throw them into a fire and spit on the ashes. In short, I want to tell you that you'll love these books, but I can't.
Nor can I really tell you about the plot, because that doesn't really convey much of what the story's about. Oh sure, I can say that a couple of college kids cross over into a pseudo-Celtic world which is being threatened by a Powerful Evil Being, and that they have to save the day with the help of King Arthur. But if I said that, you'd give a shudder or two, an involuntary spasm would run down your spine, and you'd never read the books. So forget I said it. Instead, listen to me when I tell you that what makes these books great is the quality of Kay's writing. If ever the word "lyrical" could be used to describe prose, it is appropriate here. Kay's writing is so compelling that you can forget about the jumble of cliches, and the more-or-less generic plot.
Ultimately, my recommendation on these books is this: Read some of Kay's less controversial stuff first. If you don't like Tigana, you're not going to like this. Of course, even if you do like Kay's other stuff, there's no guarantee that you'll like Fionavar. So try The Summer Tree. If, after you've finished it, you feel like throwing it against the wall, don't bother with the other two; they're not appreciably different. But either way, don't let this series turn you off of Kay. The rest of his work is much more original and tightly plotted than this trilogy.
This is the work that most people refer to as Kay's best, and with good reason. It contains much of the raw emotion of Fionavar, but abandons the standard Tolkien/Celtic/pseudo-Medieval world for a milieu based on Renaissance Italy. The plot, too, has advanced beyond the "Kill the Bad Guy" stage, and presents complex issues with three-dimensional antagonists. Here is a work of Kay's that I can recommend unconditionally and with great enthusiasm.
Set in Kay's fantasy-equivalent of southern France, Arbonne is a tale of love and betrayal and all sorts of nifty plots. It is more polished than Tigana, but ultimately less powerful. It feels light and superficial. That's not entirely a bad thing, though; it actually seems right that a treatment of the Court of Love should be superficially beautiful but emotionally hollow. I think this is the weakest of Kay's works, but it's still a very good book.
In this book, Kay very nearly completes his transformation from a fantasist to a writer of historicals. His world this time 'round is Al-Rassan, wherein the Spanish Reconquista is being played out in an only slightly fictionalized setting. So maybe it's not a fantasy; then call it an excellent historical novel. Either way, this book combines the polish of Arbonne with the emotion of Tigana. It's definitely a worthy member of Kay's impressive ouevre.
Sailing to Sarantium, like all of Kay's recent works, is a fantasy based quite strongly on history. In this case, the historical setting is the Byzantine Empire, a setting that doesn't get nearly as much use in fantasy as it probably deserves (though it's not completely ignored -- Stephen Lawhead's Byzantium is, obviously, set there). Sarantium is perhaps a bit less melodramatic than Kay's other novels, but contains all the political intrigue and theological intricacies that one would expect from the setting.
As good as it was, Sailing to Sarantium felt a bit remote, a bit reserved. Lord of Emperors more than makes up for that. This is not a work that anyone will accuse of being remote; in fact, it equals and may even surpass Tigana in emotional intensity. One of Kay's greatest strengths as a writer is how well he is able to evoke a sense of loss and tragedy, and that strength is on ample display here. This is, I think, Kay's best work, more polished than Al-Rassan and more intense than Tigana.