1. Frankenstein by Mary Shelley
2. To the Lighthouse by Virginia Woolf
3. The Three Musketeers by Alexandre Dumas
4.Watchmen by Alan Moore
5. Inkdeath by Cornelia Funke
First off, a disclaimer. I included graphic novels in consideration for my all time favorite novels. They include chapters, a long story complete with story arcs and character arcs, and can be rich in meaning and subtext.
Second, this was difficult, particularly figuring out the final book in the five. It always seems that way for me in top 5 or top 10 lists.
These novels all have decently sized casts of characters that feature in their stories. I think that is something I generally appreciate about stories - when authors create more than one character that is three dimensional and well rounded. Watchmen and the Three Musketeers share in a sort of serialized nature: they can (and in the case of The Three Musketeers probably were) be read as a bunch of individual installments and still hold together. Case in point: I actually read The Three Musketeers over the course of two years - not because it was bad, I loved it! - but because of the combination of its easy to put down/pick back up serialized nature and also the heap of books I had to read in high school AP English classes.
I also liked that the novels featured characters with realistic internal struggles. In Frankenstein, the Creature wants love and companionship. In To the Lighthouse, James Ramsay despises his father yet at the same time desires his approval. Rorschach is still haunted and broken by the murder of the young girl he investigated years earlier.
The worlds all share in their intrigue - even for classical settings. Frankenstein is set in these dark and dreary locations where you either fear for the imminent arrival of the Creature in the present or marvel at the fantasy-like little cottage where the French family lives that the Creature so desperately wants to be a part of. In To the Lighthouse, the Ramsay's summer home in Scotland is so 'normal' - but this adds to the striking realism of the characters and the piece as a whole. Also, the lighthouse, what James so much wants to go to, is a far-off fantasy for much of a novel. The Three Musketeers is set in a France where the King and Cardinal are at such odds and had so many sort of spies and secrets that it felt at times like a sort of spy setting while still retaining its classical qualities. The gritty world of Watchmen, brought to life by both the images and the text, features vigilante superheroes who are just normal people in costumes, and with plenty of insecurities and doubts. Lastly, the world of Inkdeath is inside the book written by one of its main characters - a fantasy world where new elements can be written and spoken into existence.
I think I've surprised myself with this list in that three of the five novels were written many years ago (to say the least). I do enjoy the Harry Potters, Huger Games, Redwalls, Inheritance Cycles of the world, but I suppose for a best of all time list my tastes are a bit stricter.