The Bell Jar is one of my favourite books. Plath could articulate the most horrible feelings beautifully, it really affects you. I'd also recommend her journals for more of that in an even more personal way.
I couldn't get into Prozac Nation. It didn't bother me that she was "self obsessed", it's an autobiography after all, I just couldn't shake the feeling that she was trying to write like Sylvia Plath.