Requiem for a Dream by Hubert Selby, Jr.
I originally dismissed this book. The idiosyncratic grammar coupled with the lack of dialog breaks made is seem not worth the trouble. However, having seen the movie and, more importantly, having finished the book, I can now say that this book is definitely worth your time. The book is perhaps best described as four personal accounts of Hell and how they relate to and influence one another. Be patient. The first half is necessary, but the second half is where it all falls apart.
Do Androids Dream of Electric Sheep? by Philip K. Dick
I purchased this at the same time as Requiem for a Dream. If you're at all interested in artificial intelligence from an ethical perspective, then this is a must-read. The pacing is quick and the overall length is fairly brief. More than worth your time.
Crime and Punishment by Fyodor Dostoevsky
Now, I realize that this probably seems like some boring old tome advocated for by the old guard in the foreign literature department. However, allow me to reassure you that such is not the case. On the contrary, this is a classic that is anything but dated, providing a panoramic view of late 19th-century St. Petersburg and the lively, troubled individuals who inhabit it. In order to ensure the best experience, I'd advise shelling out the few extra dollars for an updated translation. The original Garnett translation from 1914 is looking a little long in the tooth.
Confessions of a Mask by Yukio Mishima
This is a very intimate look at the life of a homosexual young man trying to blend in with polite post-war Japan. His anguish is palpable throughout and the imagery, simple and poetic, is unforgettable.
The Master and Margarita by Mikhail Bulgakov
A classic Soviet satire continuously written and revised by a disturbed intellectual up until his death. In brief, Satan visits Soviet-era Moscow and takes the atheists for a ride. Need I say more? (In the event that you say yes, think: cats wielding pistols, the 4 horsemen of the apocalypse, vampires and yes, this was really written in 1940!)
As a side note, I'd like to again suggest a modern translation and, moreover, one that includes annotations, as this is really a novel that is best understood in light of the context amidst which it was written. I recommend the one by Diana Burgin and Katherine Tiernan O'Connor.
Lolita by Vladimir Nabokov
Despite the author's name and, indeed, his origin, this book was originally published in English in 1955 and has been the subject of much controversy ever since. But then, what does one expect from a novel written from the perspective of an emigre pedophile? Although the subject matter is heinous by most any standard, the real appeal is in the writing. Looking for near-perfect prose? Look no further. I've honestly never read a book that reads this eloquently (which is not to say that it doesn't feel a little much at times, but that's a criticism more easily directed at Nabokov's autobiography, Speak, Memory).