I'd definitely second "Master and Margarita" by Bulgakov - there's a cool campaign idea in there if only you can winkle it out, plus of course it's a masterpiece.
Tolkien, Le Guin (Earthsea mostly), Leiber, Clark Ashton Smith, the Lovecraft Dreamlands and Mountains of Madness stories, Moorcock's Hawkmoon and Dancers at the End of Time (the latter is IMHO Moorcock's best work), also Stephen Baxter's Time / Space / Origin and Hamilton's Night's Dawn Trilogy. HG Wells' Shape of Things to Come.
Also up for mention: Susan Cooper's Dark is Rising sequence, particularly the "Dark is Rising" book itself, CS Lewis' Perelandra trilogy, naturally ERB's John Carter of Mars (particularly the first book), Earth Abides, Alan Garner's Moon of Gomrath, Herodotus Histories, the Thousand and One Nights, and Marco Polo's Travels for some really mad ideas, Journey To The West. Name of the Rose. Larry Niven's Known Space.
Non-fantasy: anything by Dostoevsky, Anthony Trollope, Thomas Hardy, Evelyn Waugh, William Burroughs, Shakespeare. Jane Eyre & Wuthering Heights. Odyssey and Iliad. Diary of Samuel Pepys.
Also just reading The Worm Ouroboros by Eddison - still not sure what I think, but I'm still reading so it must be doing something right!
Best novel ever? Toss up between Devils by Dostoevsky, Master and Margarita by Bulgakov, Jane Eyre by Charlotte Bronte, and Brideshead Revisited by Evelyn Waugh.
I'll stop now...
