I concur on several that have already been mentioned (Gatsby, Dorian Gray, Tropic of Cancer). One that springs to mind is The Moviegoer. Percy's prose is excellent at times, but he's a bit hamfisted with his themes -- ie., the constant talk of "the search," malaise, despair, et cetera. He even directly references Kierkegaard, as I recall.
It's not an awful book by any means -- I was just disappointed, given its status. I wouldn't rate it very high in the canon of existential fiction.