The series consists of many narratives, set in the same era on various continents, and their scopes vary massively, from very large epic campaigns in a larger (mundane) war happening over the course of many novels, to journeys of varying length involving very few players, to episodes connected to a larger, if often fairly mysterious, "central issue" (but you are often left to wonder if the nature of the foretold confrontation is really the end, or a mean to bring some other agendas/ends about). The connections between these threads is sometime very loose, sometime very close - and very often you can't tell which until later books, when you realise what happened had a greater meaning or importanc than previously apparent (and based on Adam's review there are new surprises coming in this respect in the last book I have yet to read) or until a disconnected story line suddenly clashes in an unexpected way with one of the "main threads". There are few consistently "main players". Oh, there are certainly more "important" people and even key people, but their presence in the narratives vary greatly over the course of the series: for a novel or a narrative they'll be the central players, and later on they'll fade more to the background, to return to prominence or not later. Many are "heroes" but often not in the conventional sense, going through a single journey. Rather, they are progressing through a heroic life, becoming involved as major or minor players in many "disconnected" events.

There is definitely a "main story" of a sort, a key situation/event that marks the age and will have to be dealt with at the end, but it unfolds in a fairly unconventional way through the series.

In many ways, the world itself and key elements of its history, its cosmology, its numerous mysteries, its very nature and laws are the true "main story" and even "main character" of the series. Erikson sets you on a giant expedition to discover how his universe works, what has happened it it through the ages and why and how it's connected, and not only that but what it is about to face, and he does that in all sort of ways through all his various narratives. Beside their various degrees of connection, they all have in common that they deepen or unveil new aspects of the whole, often setting in places characters or features at the same time (aspects of the magic, of the cosmology, the obscure plans/agendas of some players, key events of history, key developments for some characters or changes in the world's order, and so on).

As the series progresses, you do get more and more immersed in a world you understand better (but never completely - Erikson makes you work hard for it...) and that let you cast a whole new light on what has taken place so far, and you do get the sense it's all going somewhere, even though it's meandering a great deal (not in a badway, for me - these stories, or episodes of a story line, around which a novel is focussed are of great interest in themselves, quite apart from how some of their elements will contribute eventually to the "main story". Erikson also avoids largely cliffhangers, a blessing in a series so long.), and based on what Erikson has already done through the series, you definitely sense that many things he chose to focus on for a while, including unexpected ones or aspects of them, will converge at the end. Unlike some many more linear epics, part of the genius of Malazan is that you remain quite unsure how and what will converge exactly, unsure what the real agendas are, not even aware of what all the final factions/alliances will be until very near the end. For the more "predictable" elements/players, they've often gone their own mysterious way some books ago (ie: vanishing out of sight for a long while), and you have little idea how and when they will actually resurface.