Trilogy by Elizabeth Moon about a sheepfarmers daughter, Paksenarrion, who runs away from home and joins a mercenary company. As a soldier she becomes an experienced adventurer and has a lot of mysteriously lucky escapes. Some deity seems to be protecting her, though Paks can't figure out who or why, since she has no personal deity.

The single best trilogy I have ever read, and the only story I've read that has made me cry. The end of the second book and the beginning of the third is extremely moving.

This trilogy beats The Lord of the Rings hands down, on all counts, IMNSHO. Do yourself a favor and read this masterwork!