Allegory is a literary device in which characters, settings, and events are symbolic of something else outside the story (ie there is a second meaning beneath the surface one). Allegory can be used in fiction, poetry and art and conveys its hidden message through symbolic figures, actions, imagery, and/or events.
His Dark Materials by Philip Pullman
The Chronicles of Narnia by CS Lewis
A classic high fantasy series with much adventure to offer. But, it can also be read allegorically and incorporates Christian imagery.
The Lord of the Rings by J.R.R. Tolkien
Watership Down by Richard Adams
On one level a classic tale of adventure, with anthropomorphized rabbit characters. On another level, it is an epic struggle between tyranny and freedom.
Animal Farm by George Orwell
A satire of socialism and communism told through a group of farm animals who revolt.
Redwall series by Brian Jacques
A massive series about medieval rodents. Martin the Warrior is a recurring figure in the series, even though it spans generations. Martin can be seen as a mouse Christ figure.
The Phantom Tollbooth by Norton Juster
A children's book about a boy who is really bored and finds himself playing with a magic tollbooth where he discovers that learning is fun.
The Song of Albion by Stephen R. Lawhead
Lord of the Flies by William Golding
The Alchemist by Paulo Coelho
Santiago is a shepherd boy who embarks on a physical and spiritual journey. It is a story about innocence and wonder and finding meaning in life.
The Fairie Queen by Edmund Spenser
A collection of t ales about a magical land full of knights and monsters and beautiful maidens. The tales are an allegory about virtues and also include some political allegory.
Pilgrim's Progress Jby ohn Bunyan
At the Back of the North Wind George MacDonald
This is a children's book about a boy who travels with the North Wind. But, it is also brings out many philosophical and spiritual questions.
The Wind in the Willows Kenneth Grahame
Another story about anthropomorphized animals. This is an affectionate tale about adventure, friendship, and realization.
Main Image: Antonio de Pereda - Allegory of Vanity - Google Art Project