For me, Proust's seven-volume novel, Remembrance of Things Past, indisputably remains the most unique artistic achievement of the twentieth century. It is a rare masterpiece of modern imagination-it equals Dostoevsky in fathoming the depths of evil, is comparable with Tolstoy in its all-encompassing range of human passions of love and jealousy and a most brilliant portrayal of grief, passing time and decay. Remembrance of Things Past is almost Shakespearean in its capacity to capture the psychological mystery of multiple selves which an individual carries within himself.
Proust is perhaps the only western writer of the century who was able to reach closest to the Vedantic perception of the self in the world as two faces of the same reality, one reflecting the other.
Apart from Proust's work, I would recommend William Faulkner's Wild Palms and Thomas Mann's Doctor Faustus as two most poignant and profound novels of the twentieth century.
(Nirmal Verma is a Hindi novelist.)