If you're looking for something else of his to read, Amber is very good and has an interesting premise. I highly recommend any of his shorter stuff you can get your hands on. With his minimalist style, he really excels at writing novella-length and shorter stories. Out of the 3 Nebula Awards and 6 Hugo Awards he won (out of 28 total nominations - 14 for each), only 2 of those awards were for novels (This Immortal and Lord of Light). The other 7 were for novellas and short stories. He has a few short story collections, some of which are out of print, but I know they re-released the collection The Doors of His Face, the Lamps of His Mouth not too long ago. The title story in this collection won a Nebula Award and is one of my favorites. Also included is the story A Rose for Ecclesiastes, which was recognized in the Robert Silverberg-edited Science Fiction Hall of Fame anthology of the best pre-Nebula short stories, and that one is truly remarkable. Some publishing company is in the process of publishing all of his writing of novella-length and shorter, including essays and poetry, in a 6 volume anthology. I don't own any of these yet, but I hear they are very well done, and are well worth the (unfortunately) somewhat substantial price. A couple of other noteworthy shorter things that come to mind are the novellas He Who Shapes (which won a Nebula Award) and Home Is the Hangman (which won both Nebula and Hugo Awards).

A particular favorite of mine is his novel A Night in the Lonesome October, which is divided into diary entries for each day in the month, and Zelazny fans like to read a chapter per night each October. It's a somewhat whimsical fantasy satire that incorporates H.P. Lovecraft's Cthulu mythology, and while certainly not one of his critical masterpieces, it's still a fun read.

Sorry if this post got a bit long, but if you liked Lord of Light and are interested in reading anything else by him, there are some suggestions.