My first, and perhaps most obvious answer, would be The Catcher in the Rye by J.D. Salinger, which pretty much emphasizes on how much Holden Caulfield's life isn't like life in a movie, and even becomes anti-movie, by stating, "If there's one thing I hate, it's the movies. Don't even mention them to me."

Others for me would be:

A Confederacy of Dunces by John Kennedy Toole - Has yet to be adapted due to numerous production problems.

Blood Meridian or the Evening Redness in the West by Cormac McCarthy - The violence is too disturbing, and toning the violence down perhaps wouldn't do the book justice.

Gravity's Rainbow by Thomas Pynchon - Too complicated and can easily confuse anyone who's not willing to reread the book multiple times in order to understand it better.

The Unconsoled by Kazuo Ishiguro - Intertwines dreams and reality in a way that might make Inception by Christopher Nolan look like child's play.

Weaveworld by Clive Barker - Too epic in scope to the point that it demands a lot of money be put in presenting its visuals on screen, which is a risk that few to no studios may want to take.