3 books come immediately to mind because they all transformed the way I think and live significantly.
1) Sure Guide to Heaven, by Jospeh Alleine.
2) The True Christian's Love to the Unseen Christ, by Thomas Vincent.
3) The Marrow of Modern Divinity, by Edward Fisher (with Boston's notes).
The first two were the first puritan works I had ever read. the Second I think is still my favorite next to Pilgrim's Progress. The third was my first introduction to covenant theology and still I think is the best introduction to classic Reformed covenant theology. It's practical application is wonderful too.