The Necklace
By Guy de Maupassant

This short story has a killer twist at the end: A woman borrows a diamond necklace, loses it, and ruins her life replacing it, only to discover years later that the diamonds weren't real. It's so exquisitely painful. I read this as a teenager, and it was a lesson in how important a strong story line is. I like to read (and write) books where you just have to keep going to find out what happens, and when you finish, you want to think back over the whole plot.