We, by Yevgeny Zamyatin, is said to be the very first dystopian novel. It was written in 1921 and was not published in Russia (Zamyatin's home country) until the late 80s.

It is also said to be the book that Aldous Huxley and George Orwell got a fair amount of their inspiration from.

I'm reading it now, and it's pretty fantastic. Has anyone else heard of it?