In no particular order:
The Picture of Dorian Gray by Oscar Wilde
Paradise Lost by John Milton
Faust by Goethe
I think...I've never made a top three reads list of any kind and have a hard time making a definitive statement here, but for now this is it. Re: Paradise Lost, though---I actually don't like it nearly as much as Lord Byron's Cain: A Mystery, which has a very romanticised sort of Lucifer, even more of a misunderstood, tragic figure than Milton's Satan, but I'm not sure how many people have really read Byron's chamber plays and if they're well known enough to count as classics.
I do recommend it heartily, though, especially considering Byron's amusing, page long opening exposition in which he swears he was completely unaware of how similar his premise is to Milton's, because really he only read Milton once, a long, long time ago, and he barely remembers it at all, etc. This is particularly interesting because the Romantic era is really the first time in literary history when originality started to become extremely important. Before that, everyone took inspiration from everyone else and re-wrote each other's work with impunity. Byron was probably one of the first to have to suffer through the "fan fiction" accusations and backlash, at least within the literary community.