One story, or one book?
If story, probably these:
Remembrance of Things Past (all 7)
Winston Churchill's World War II series. I got bored after the third book though.
The Worst Journey in the World
Chinese Martial Arts Novels, and Classical Chinese Fiction. Jin Yong novels when translated would hit a couple thousand pages, but they have yet to be translated. Jin Ping Mei and Hong Lou Meng are also quite, quite long.
As for who wrote the longest drawn out series of books - the fantasy genre seems to be the great winner. I only didn't list them as I hadn't finished. Proust, taken as a single work, would be a great contender, except that I have not finished. In terms of Length I suspect it would equal Jin Yong's Condor Trilogy, which I read to help me studying written Chinese.
War and Peace by Tolstoy and Les Misérables by Victor Hugo. Truly great novels!
I would have to say the longest story I have read goes to The Wheel of Time series. I believe there are 14 books in total and they are all over 700-800 pages in length. I've read the first 11 books and will complete the last 3 in time.
As a side note, it seems to be popular to bash this series of books, but for sheer epic scope, enjoyment, awesome world, characters and magic system, I'd put it up against any other fantasy series I have read. Comparing it to A Song of Ice and Fire, which I love, if I was stuck on a desert island I would prefer the wheel series because I feel that overall it is a more exciting and interesting story.
One that I recently finished; August 1914-The Red Wheel Alexander Solzhenitsyn.
For me it probably was The brothers Karamazov. I read it only once, back when i was half the age i now am...(now i am 34).
I don't read long works by now. Mostly just short stories, since i mostly write short stories myself anyway (around 10 pages).
Currently I am reading Les Miserables in English; how long did this masterpiece take for you to finish it?
Artamene, Or Cyrus the Great, at a brief 2.1 million words. And then perhaps Marcel Proust's In Search of Lost Time at a mere 1.27 million.
Joseph McElroy's Women and Men is certainly the longest novel I have read, that is always considered only a single volume. 850,000 words or so.
Perhaps someday Arno Schmidt's Zettel's Traum will be translated to English, as it is considered the longest single volume novel ever written.
I just finished Les Miserables. It took me over 3 months to finish. It's not that much of a story, but Hugo could get extremely preachy and professorial as he filled in the historical gaps and expounded on one subject or another. It's the longest thing I've ever read.
No damn cat, no damn cradle - Newt Honniker
Series: the wheel of time
Single volume: war and peace (though I had to check the page counts of a storm of swords and the uncut version of the Stand)
Dream of the Red Chamber, in English, in five volumes, which totaled about 2500 pages.