Can we include short stories? If so, Hemingway's "A Clean Well-Lighted Place" is my favorite short story.
Also, JD Salinger's "A Perfect Day for Bananafish" is interesting. You can find it in "9 Stories," a compilation of Salinger's short stories. Also in "9 Stories" is a story entitled "For Esme - With Love and Squalor." Both stories (A Perfect Day for Bananafish and For Esme- With Love and Squalor) transpire during World War II and focus on the effects that combat has on young soldiers. The two men in both stories are strikingly similar, yet their lives have very different outcomes.

Bananafish:
http://www.freeweb.hu/tchl/salinger/perfectday.html .

For Esme - With Love and Squalor
http://www.freeweb.hu/tchl/salinger/squalor.html

A Clean Well-Lighted Place
http://www.mrbauld.com/hemclean.html