Reddit mentions of The Bell (Penguin Twentieth-Century Classics)

I can't recommend Iris Murdoch's The Bell strongly enough. The same goes for Flannery O'Conner's A Good Man Is Hard to Find.

In general, I'm more at home with female short story writers than I've found myself with female novelists. Perhaps for no better reason than that I'm more familiar with the former. To that end, I'd also suggest Edith Templeton's The Darts of Cupid and Katherine Mansfield's Stories.

EDIT: Almost forgot to add Nella Larson's Passing. Oh, and you didn't really specify non-fiction, but the work of Susan Sontag, Joan Didion and Hannah Arendt is as gripping and paradigm-shifting as anything written by 20th century men.

Great answers so far! I should add another couple of suggestions myself: The Athenian Murders, by Jose Carlos Somoza, which is about Platonic ideas and the notion of translation; Sum, by David Eagleman, which is a set of vignettes about possible afterlives; works by Irish Murdoch (e.g. The Bell and The Black Prince); and works by Rebecca Goldstein (e.g. The Mind-Body Problem).