The Custom of the Country by Edith Wharton
This one is sharp and witty, with a great story and brilliant psychological insight into what it means to be a woman in a consumer culture—which is something that hasn't changed all that much since Wharton's day.

The Autobiography of Benvenuto Cellini by Benvenuto Cellini
A startling work of self-justification and score settling, this autobiography has all the action and romance you'd find in a gripping historical novel. Renaissance artist, friend of Michelangelo, favorite of popes, and rival to cardinals, Cellini was also a street fighter, a philanderer, an egoist, and quite possibly a murderer.

Anna Karenina by Leo Tolstoy
This is a big sweeping novel about a lot of very important things, like social class, politics, and agriculture. But it's also a great, compelling romance. Just don't read it on a train. You'll have to read it to find out why.