Confessions of Zeno by Italo Svevo
James Joyce knew Svevo was a genius, but somehow the word hasn't gotten out as well as it ought. One of life's most deluded protagonists psychoanalyzes himself to hilarious effect, and frets along the way about all those details that preoccupy Everyman: quitting smoking, balding, how to manage a wife and a mistress, the end of the world ...
Wittgenstein's Nephew by Thomas Bernhard
For me, it's a tossup between this one and "The Loser," but almost any of Bernhard's short novels will do -- furious, obsessive, scathing, absolutely hilarious and oddly beautiful, too. By the famously anti-Austrian Austrian, who stipulated in his will that his books should remain unpublished in Austria until copyright expires.
Sabbath's Theater by Philip Roth
Pig or perfectionist? Mickey Sabbath's nihilistic rampage is a tour de force, and my favorite Roth novel by far. His loathings are infinite, his tirades razor sharp, and nothing, no one, is spared. But at the novel's core lie the agonies of frustrated passions, of brilliance thwarted; and even as you laugh, and are appalled, you can't help but be greatly moved.
Two Serious Ladies by Jane Bowles
One of my all-time favorites and Jane Bowles' only novel. Strange, compelling, curious and sidelong in its humor, the book tells the stories of Mrs. Copperfield and Miss Goering, whose peculiar adventures are wonderful but awful. You'll either love it -- and feel as though it was written just for you -- or else you won't see the point, depending on your sense of humor.
London Fields by Martin Amis
Nicola Six, otherwise known as the Murderee, and the scrofulous Keith Talent inhabit a seamy and savage version of London's Notting Hill that would make Julia Roberts and Hugh Grant blanch. Amis' wit and verbal virtuosity are as marvelous as his story is unsettling -- and then there's that horrific infant Marmaduke, as memorable as any Dickensian creation.