Robert Pirsig
I can't say any book has changed my life, though lots have been extremely thought-provoking, and others have been extremely comforting.
Top of my list would be:
Zen and the Art of Motorcyle Maintenance, and Lila - the first comforting, the second thought-provoking.
The Bone People, by Keri Hulme, for its impact on your emotions, and also for its ability to affect the way you view people previously portrayed in a stereotypical fashion (i know that made just about zero sense, but I can't really explain better without revealing the main thrust of the book). Also for her amazing manipulation of words and what they can convey.
Conversations with God (for giving me hope)
Anything by Tom Robbins (the hope factor again, as well as his love of life, humor, way with words)
Any fantastic-realist books (eg. Isabel Alllende, most South American authors, and many Indian authors, Alice Walker, Toni Morrison) for reminding me that the world does contain many mysteries - a lot of them small and overlooked)
Just about any book by anyone living in a country and culture not my own - for opening my eyes to how varied and interesting the world is.
Ayn Rand - for helping me understand that its okay to be strong, and to believe in yourself
Lord of the Rings and Thomas Covenant the Non-Believer - for escaping this world

Apologies - have just realized that this belongs in favourite books thread (but then Books that changed your life is probably going to = Favourite books thread)