There are quite a few. As to be expected. But I think one of the first ones was 'Wahlverwandtschaften' (Elective Affinities) by Goethe to realise how within all our good wishes and wills we still keep ripping each other's hearts out. Then, Rilke's Letters to a young poet, to understand the distance between each and everyone around us. And finally, The Seducer's Diary by Kierkegaard.
Put these together, and most of what you will read afterwards will make sense.