These are mostly classics:
The Gallery by John Horne Burns - set in WW2 occupied Italy, haven't read this one but had some excellent recommendations.
Johnny Got His Gun by Dalton Trumbo, which won a National Book Award, a really powerful anti-war novel, based on the experiences of a solider in WW1. Read this years ago, and have never forgotten it.
The Things They Carried by Tim O'Brien - set around the Vietnam war, lyrical and poignant.
The Radetsky March by Joseph Roth - follows a military family from the mid-19th century through to the years before WW1 and the conduct of the military depicted foreshadows the attitudes towards ordinary solidiers in WW1. Brilliant classic novel, funny and ironic and absorbing.
Pat Barker's Regeneration Trilogy - set around WW1. Incredibly readable based on true events.
Suite Francaise - Irene Nemirovsky - following occupied France during WW2. Beautifully written, unforgettable scenes of people trying to flee the oncoming Nazi occupation, and great characters.
The Invisible Bridge by Julie Orringer - tracing the lives of a family devastated by the events of WW2. Very old-school saga, moving, accessible.