There's already quite a few posts in the library section about different books we've read. "The Story of O" is one that I've not read, but a lot of people talked about, as well as the Beauty trilogy by Anne Rice, under the name A.N. Rolequare (or something like that, I'm not sure of the spelling.) The series I most enjoyed was the Kushiel's Legacy trilogy by Jacqueline Carey (Kushiel's Dart, Kushiel's Chosen, and Kushiel's Avatar). They are not books in which BDSM is the point of the story, but the BDSM elements form an important part of the culture and are an essential part of the main character. As other people respond to this thread, I'd look around the other posts in this section, if I were you.
Morrighan