There's no way I can pick just one. But I do have my favorites.
Tolkien's "The Lord of the Rings" is up there, mainly because it's such a wondrous tale of adventure mixed with a fairly consistent "history" of its own.
Goodkind's "Sword of Truth" series. Seldom does a book (or books) get me so engrossed that I want to reach into the pages and help the good guys, or strangle the bad guys. There were times when I had a strong physical reaction to what was happening, and not always good reactions, either.
Heinlein's "The Moon is a Harsh Mistress", an irreverent look at government and society, probably one of Heinlein's best.
Auel's "The Clan of the Cave Bear" and its sequels, just because they were fun to read! That girl is single-handedly responsible for the advance of civilization!
Turtledove's alternate history books, too numerous to mention. Extremely detailed and well thought-out "what-if" scenarios with just enough reality to make you think things really COULD have happened that way.
I don't know, there are so many. My home library has over 700 books, hardcover and paperback, and they've all influenced me in one way or another.
We even have a Bible, a gift from my sister, though I've never touched it (it might scar me for life) and we keep it locked in a dark closet where innocent children won't be corrupted by it.