Lots of fantastic suggestions above but here are some of my favourites:
Vladimir Nabukov – Lolita
The subject matter is obviously a challenge but as an exploration of someone struggling with their sexual nature it’s almost perfect. An uncomfortable read at times but incredibly compelling.
Virginia Woolf – Mrs Dalloway
A hard read but only because its structure is so innovative. Once you get used to it it’s an amazing snapshot of a world in which characters move and exist rather than the world being shaped around them. A bit like an impressionist painting or a complex jazz record, you have to commit to exploring it to get the most out of it.
Phillip Roth – American Pastoral
My favourite novel – exploring the relationships between classes, generations and cultures in the 1960-70s. I read it in about 48 hours then went back to the start and read it again.
Joris Karl Huysmans – A Rebours
The most cynically comic novel I know of, tearing into the intellectualism and affectation of its era but still relevant to our own fabs and fashions and still very funny.
Ernest Hemmingway – For Whom the Bell Tolls
Pretty much a perfect book, not really sure what to say about it really.