I second
East Of Eden. I first read it when I was in high school, and it dramatically changed my life. The whole concept of taking control of your destiny, and choosing how you will react to circumstances is what made the biggest impression. I've read other books that changed my outlook, too, but
East Of Eden had the biggest impact.
And let's see:
The Poisonwood Bible gave me a debilitating snake phobia - does that count?

All of Margaret Atwood's books stay with me forever, and I think about them often. But I don't know that I've changed my actions because of them.
I'm anxious to hear about others' experiences!