Great recommendations here, from what I've seen. I look forward to parsing this thread more slowly and finding some new gems... thanks to all posters for sharing!
For a quickish "must-read" darkish comedy, Good Omens (Terry Pratchett & Neil Gaimen). It's old school Pratchett humour and plot-hooks given a good polish by Gaimen's dark and steely style. If you like either author, you won't put this down.
For fans of grittier sci-fi, and those who like deep metaphors about how sh1t and corporate the world is, Market Forces by Richard Morgan blew my FRICKIN' MIND. It has a very cyberpunk vibe, although it lacks the very key cyberspace element to be truly placed in that genre.
When I was a devoted karateka and very interested in Japanese culture, but knew nothing of aikido, a friend made me read Angry White Pajamas, by Robert Twigger. I have since made many others read it, and I hope you do too; and also that it inspires you in the way that it inspired us.
My favourite classic, Oscar Wilde's The Picture of Dorian Gray was a book I read many times in my angsty and gloomy late teens and early twenties, when I desired greatly to be known as a "well-read" person, but secretly just wanted one damn good book to quote. Similarly, although I hated it, female peers have listed Sylvia Plath's The Bell Jar in a very similar fashion, for almost identical reasons. Their experiences were so similar to mine that I had to list them together, even though the books are nothing alike.