Hands down, my favorite "book" on the Modern Library's Top 100 Novels of the 20th Century list was A Dance to the Music of Time by Anthony Powell. Although commonly listed as one work, Dance is actually 12 novels, originally published separately but commonly published in four volumes of three novels each, called "The 1st Movement," "The 2nd Movement," etc.
Dance follows a group of characters in England from 1914 through WWII and up to 1971. The plots of the individual novels are less important than the entwining of these characters as they move in and out of each others lives over the years.
It is definitely on my Desert Island list (10 books I'd want with me if stranded on a desert island) -- especially if I can count it as one book, like the Modern Library did.
Here is a list of the 12 books of Dance to the Music of Time, in publication order.