I too, must qualify my favorite: fiction, non-fiction, “classic,” and mainstream. And my response changes depending on mood. On most days, however:
The Master and Margarita by Michael Bulgakov - a wonderful combination of satire and philosophy about nearly every aspect of the human condition.
The Devil’s Knot by Mara Leveritt - a terrifying look into a broken, corrupt, and dangerous justice system which destroys three lives while failing to bring closure and justice to three slain children.
It by Stephen King - because of his success and the genre in which he traffics most often, this brilliant novel will never be recognized by a “scholarly” audience. King writes (and understands) children better than anyone.
The Sandman by Neil Gaiman - on par with any “classic” literature ever. So dense in multiple mythologies and insight into human nature it warrants multiple readings.