I second the Liszt Sonata, I heard people ranting on about it's greatness, so I got myself a recording and understood why

But you can't go wrong with:
Prokofiev - Op.82 Sonata No.6 And simply the most amazing Sonata:
Medtner - "Night Wind" Sonata op.25, no.2Edited To Conform To Michael Langlois' Ingenious Idea: Prokofiev's Sonata No.6... besides I die when I hear the last 2 measures of the final movement, it has a tune that whilst sounds... ingenious! It also rips at your ears, with his carefuly repeated methods of use. And the second movement is just... cute?

I dunno tbh, guess this one always taps an F# in me!
Medtner's... wow... the complexity SOUNDS unbelievable, and it still produces amazing coherent sound ^_^;; I mean, the amount of chords being ripped through this piece, and the never ending (so it seems!) variations of the Theme tune is just SWEET, impressively written! I think I prefer the second (or final) movement though, I just LOVE the Theme cascading in the Cadenza! The pinnacle of all Sonata's
