The "Rainbow Dash Presents" readings of really awful pony fanfics done humorously are amazing. I highly recommend them.
Pre-pony, I can't say that I read too many fanfics, although I've always enjoyed novella and short story style books.
Edit: By the way, please forgive all the ponies coming out of the woodwork for this one. You have to remember two things. One, we're all frequent posters here anyway. Two, I think MLP fanfic was the first fanfic ever for many many people.