All of these were great, but I think I enjoyed the Baroque Cycle the most. Comes probably from the long-time passion of reading (and re-enacting) history...
I haven't tried Anathem yet (though I have it) but I never got past the first part of Baroque cycle, and I loved Snow Crash (probably my all time favorite novel), Cryptonomicon, and even Diamond Age. I've heard once you make it past the initial Wodehouse moment it gets better, but my god he bored me to tears with that. Considering how much I ate up all the insanity in Snow Crash that's saying a lot ;).
Baroque Cycle was probably helped a bit by the fact that I read it while on an interrail train trip through the Europe. Lots of time to read when in train or waiting for one :-)