Perhaps you could consider it thrilling literary fiction?  :-)

The series is complex, and deals with heavyweight issues such as the treatment of minors, those considered in need of care, and the treatment of women by men. In addition to the view of the story from the perspective of Liz Salander, Larsson includes the Mikael Blomkvist character, with the in-joke that he's a detective like Astrid Lindgren's (Pippi Longstocking) teen boy detective, Kalle Blomkvist.  I'm guessing that in American, this would be like referring to a detective whose last name is Queen as "Ellery Queen."

Long, long ago were the Nancy Drew and Tom Swift books, and later the stories by John Bellairs (all children/YA books).  Then 'way back when,' I enjoyed John Le Carré (all are complex, layered stories), Robert Ludlum (Jason Bourne books), Helen MacInnes (Salzburg Connection) and Trevanian (Eiger Sanction).  Less-long-ago was Tom Clancy. Today's authors are Henning Mankell, Jo Nesbo, Stieg Larsson, Tana French, and David Silva. 

I know I've left out authors, but these are the ones that I can think of without going to the shelves and writing down names.