Hmm - I don't read many, but here's a few.
Job: A Comedy of Justice - Heinlein. As he tells an alternate-reality tale from a religious viewpoint which turns out to be... well... that'd spoil it, wouldn't it? Suffice to say, this one carries on further than you would ever expect but has a good and proper end.
I tried reading Asimov's Foundation, as it's supposed to be part of that Sci-Fi 'golden age', but frankly I found the science to be laughable and the misogyny excruciating. Though one that does still work from that era:
Rogue Moon - Algis Budrys. Before the moon landings, the US Navy is investigating an obscure structure found on the moon by sending astronauts through a crude duplicating transporter device. Nicely tackles the idea of what happens to the guy you're tearing apart to transport, and how weird multi-dimensional spaces might be to explore.
Only Forward - Michael Marshall Smith. Slightly hip British satirical and occasionally cliché-subverting take on a future of walled cities (one colour-coordinated, one where they all believe there are no outsiders left, one bequeathed by an old lady to her cats, etc.) that takes an odd twist. Not keen on anything of his after it though since it tends to be derivative of this, his début.
The Raw Shark Texts - Stephen Hall. Not sure how much flak I'll take from the hardcore for suggesting it's Sciffy enough, but it's a conceptual mystery about predatory memes that does wonderful things novels aren't supposed to do.
The Complete Ballad of Halo Jones - Alan Moore/Ian Gibson. Yes, it's a comic. With a solid, believable female lead and more brilliant futurist ideas thrown away in the edges of a panel than some authors come up with in a lifetime.
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