The usual set is:
Darwin
Nietzsche
Freud
Marx
These are the people who showed the self-satisfied 19th century, which thought it finally understood everything and had morality and right behavior neatly wrapped up, that in fact they understood nothing. Marx's presence is traditional, but questionable when your viewpoint is more philosophical than historical. He's there because his impact was tremendous, but his insights into alienation are overshadowed by his bad economics and bad psychologizing. It might be better to replace him with Einstein and/or Maxwell.
Thoreau might belong on that list, but his work is fundamentally dishonest. He praised his life of simplicity, yet it was entirely enabled by the work of others; the very industry that he ridiculed provided the food that he ate (contemporaries said during his Walden period he generally dined at various houses in Concord), the books and conversation he enjoyed, the clothing he wore, the town he frequented, the peace and security he required. Nor would his lifestyle have been possible for a man with a family. There may be wisdom in it, but I would rather see its efficacy demonstrated honestly.

