Crime and Punishment by Fyodor Dostoevsky is my favorite book. It offers a social critique and delves into the psychological aspects present in the mind of a murderer. It's a great book.
The Metamorphosis by Franz Kafka is another great story. The reader must readily accept that the main character is turned into a giant dung beetle, but Kafka excels in communicating the isolation felt by every being.
Jeffrey Eugenides creates a realistic world in The Virgin Suicides in which five sisters struggle with the angst of being teenagers as well as the obsession that controls the boys next door.
In his story, J.D. Salinger manages to create an emotionally complex individual, but uses language that is very straightforward and casual. He conveys the true struggles and trials a young depressed adolescent faces.