Ursula K. Le Guin, The Left Hand of Darkness. My favorite Le Guin (the Dispossessed is pretty good too). Shockingly original when it was published in 1969; the portrait of the society and culture on Gethen still feels unique. A slow burn at the beginning, but builds to a dramatic conclusion.
Patrick O'Brian, Aubrey-Maturin series. Probably the best historical fiction ever written. Rich tapestry of life during the Napoleonic Wars. Set in the Royal Navy during the Age of Sail, but that description doesn't do it justice; O'Brian's great inspiration was Jane Austen, and the focus is on characters and people, particularly the brilliantly contrasting personalities of the two main characters.
Vasily Grossman, Life and Fate. Like Tolstoy's War and Peace, but set in Russia during WWII. Explores the dark heart of the 20th century (the Battle of Stalingrad, concentration camps, the gulag) through the eyes of a wide cast of characters from different walks of life. Grossman wrote about Stalingrad from firsthand experience as a war journalist, and is able to uncover moments of hope and human kindness amid horrifying world-historical events.
Books others have already mentioned:
* Tolstoy, War and Peace and Anna Karenina. * Mikhail Bulgakov, The Master and Margarita (interesting how several people mention this one; I used to think it was my own private discovery). * Neal Stephenson, especially Cryptonomicon and the Baroque Cycle
And the obligatory Tolkien and Douglas Adams that I read and re-read as a teenager.