Crime and Punishment is probably the best psychologycal thriller I've ever read. Then War and Peace gives you an incredible insight into the Napolionic Wars. Anna Karenina is too sad for me, but it is a very good read. Anything by Hesse, the man is a genius. If you want a good romance The Age of Innocence or, more recent, The Bridges of Maddison County.
Right now I'm reading Doctor Zhivago, I'll get you back on that one when I finish it.