Picking a "favorite" is generally hard. I once learned that the best way to phrase this question is in the form of e.g. "What are some of your favorite books?" so the responder doesn't have to force rank their all-time-favorite in their head, which can feel taxing. So I'll name two:

I'm actually a bit surprised to not see "Brave New World" mentioned yet. That was a life-changing experience to my teenage self

And since someone else has already picked Steppenwolf by Hesse, I'll mention Demian instead.