Had a marathon on Dostoevsky last year. "The Demons" immediately became one of my favorites, I just really love how the events snowball and how it starts off rather dull, uneventful and casual, and in the second half everyone just dies tragically
"The Karamazov Brothers" are also great, but I can't call it my favorite, since it was basically never finished and the story never ended the way the author originally intended.
"The Idiot" is the perfect source material for a shoujo manga adaptation!

I recently found Pierre Drieu la Rochelle's "Gilles" at a bookstore and immediately bought it. I haven't read anything for a while, but I find the author's personality really interesting. And considering that "Gilles" is pretty much an autobiographical novel, I bet it'll be a fun read!