Like other major authors in Victorian England, Thackeray originally published Vanity Fair as a serial in a newspaper. He engraved the illustrations himself. It is the story of Becky Sharp, a clever and often manipulative orphaned governess who wants to rise in British society.
Vanity Fair was written in 1847, the same year as Wuthering Heights and Jane Eyre, but it is set over 30 years earlier, near the end of the Napoleonic Wars. If you are looking for some good Victorian classics to read, you can look through the time line at Victorian Web.
What I really like about Vanity Fair is the storytelling. I have a hard time explaining what that is exactly, but I found a definition that's perfect here: "scene-by-scene construction, drawing characters, finding a moving voice to communicate the drama, and conveying the facts in a way that will draw readers into the story".