1984 by George Orwell.

Fahrenheit 451 by Ray Bradbury. Also, the Martian Chronicles by said author.

Any book by Isaac Asimov - real good sci-fi with socio-politico-philosophical thoughts behind it. The Foundation cycle is really interesting.

Also the two madmen: Poe and Lovecraft. Read their books.

Gee, I just realized that a list of some of my favorite books is actually a list of dark, pessimistic and/or dystopian stories.