My personal favorite is Crime and Punishment by Fyodor Dostoyevsky, I find Raskolnikov a super compelling protagonist and love the writing style of the book. Ever since I started reading classics I've found it hard to go back to reading recently released books. Like a quarter of my shelf is very modern stuff that I try to read and then give up within the first chapter because I get bored- I keep the book anyways because I assume I'll read it fully one day- but I don't want to pass judgement on it yet.
But that's a little off topic, tell what your favorite classics are or discuss the ones you are currently reading in the replies! ^_^