I'd say several works have changed my life:
"Green Eggs and Ham" - I taught myself to read this at a very young age (3?) - so young, in fact, that my parents (who are both very well educated) didn't believe me at first. Started my lifelong love of reading.
"Buried Child" a play by Sam Shepard - Not so much how the play changed my life, but how my interaction with it changed my life; I wrote my first collegiate paper on this play and received my first (and only) F grade on a paper. I still have the paper and, while it is clearly the work of a young, inexperienced writer, it isn't an F paper (more like a C or C minus). From my discussion with the professor afterwards, I realized he was sending me a message with the grade that I strayed too far from the orthodoxy of his viewpoint and the grade was, basically, to nudge me back in step. I regurgitated his viewpoints on subsequent papers in the class and finished with a B+ but never felt like I truly earned that grade. I vowed that I would remain true to myself in the future and now be cowed so easily.
"A Passage to India" by E.M. Forster - Again, not so much the work itself (although the passage ending with "We must exclude someone from our gathering, or we shall be left with nothing" still influences my thoughts today) but, rather, that this was the first work about which I wrote a truly outstanding paper and found my voice as a writer.
"Death on the Installment Plan" by Louis-Ferdinand Celine - I read this while working at a cannery in Alaska and it opened my mind to the use of humor in describing misery and the human condition; his stream-of-consciousness style and, specifically, use of ellipses seemed to truly capture the way minds function.
I'd also like to comment on two other works mentioned by others:
"Atlas Shrugged" - I had a couple big problems with it, and am always amazed when others cite it as and influence: 1) I found the philosophical viewpoints simplistic in the sense that, in order for them to hold water, one had to imagine a world so utterly mechanical and "logical" that they ceased to have grounding in reality; 2) from a literature standpoint, Rand is at best a mediocre writer; and, 3) it was twice as long as it really needed to be - part of what I found mediocre about her writing is that Rand is long-winded. I admit, however, to not having read any other works by Rand and am not proud that I allowed my strong negative reaction to Atlas Shrugged to color my perspective on Rand. I suspect that her works of non-fiction and/or shorter works of fiction (like Anthem) might convey her message more effectively.
"The Denial of Death" by Ernest Becker - I kicked myself when I saw this in an earlier post (having already composed much of the above in response to the OP); this had a huge influence on me by changing/evolving my perception on personal motivations - both my own and others.