One of the unfair criticisms of the fantasy genre is that it is not as deep, intellectual, or as practical as other fiction. Admittedly, there are some simple and superficial fantasies, but there are simple and superficial books in all fiction genres. Personally, I love fantasies that make me think about our world--the real world--in different ways by examining a different world and then asking the big questions. What makes life worth living? What is the true measure of a person (if any)? What is the nature of God or gods? What are the limits of love? How do you define justice? Does absolute power corrupt absolutely? Is war ever justifiable? What about assassination? What makes us human (or elf, or something else)? How much are we shaped by culture? By circumstance?
Give me fantasies that go beyond the bright lines of good and evil and instead delve into the shadows, the twisted turns of morality and meaning. In short, my advice for writing great fantasy is: go deep!