http://www.amazon.co.uk/First-Lankhmar-Millennium-Fantasy-Masterworks/dp/1857983270/sr=8-2/qid=1157296106/ref=sr_1_2/026-2004853-3956420?ie=UTF8&s=gateway
http://www.amazon.co.uk/Second-Book-Lankhmar-Fantasy-Masterworks/dp/0575073586/sr=8-1/qid=1157296106/ref=sr_1_1/026-2004853-3956420?ie=UTF8&s=gateway
All the stories are available in two books from Gollancz. The only qualm I have with them is that they're placed in the chronological order of the characters and their adventures, not the order that Fritz Leiber wrote them in.
While that sounds like a plus, much of Leiber's later work is generally considered less interesting and not as good as his earlier stuff. This means that there's inferior later material mixed in with the earlier works.
The Second Book is generally considered worse, though. Most of the classics are in the First Book of Lankhmar and the Second Book contains The Mouser Goes Below; generally regarded as Leiber's worst effort. The Second Book also contains The Swords of Lankhmar, the only novel-length story of Fafhrd and the Grey Mouser and definitely one of the best. It's worth it for that alone.
If you're strapped for cash, the First Book of Lankhmar is cheap and generally brilliant. I can't recommend it enough.
