Typically I do not go for books centered around school-attending protagonists, but Lev Grossman's The Magicians is a story of a different kind. Possibly best described as a hardcore Harry Potter (GRRM is quoted, "The Magicians is to Harry Potter as a shot of Irish whiskey is to a glass of weak tea") this story has incredible emotional depth that will leave you breathless at times.
Clearly, with an average rating on Amazon lower than any other book on this list, The Magicians is not for everyone. If you get frustrated when the main protagonist makes bad (albeit realistic) decisions, then you may want to look elsewhere for entertainment with a bit more cheer. If you love the sadness that can accompany true realism, however, make sure this book and the sequels are at the top of your pile.
Like everyone else, precocious high school senior Quentin Coldwater assumes that magic isn't real, until he finds himself admitted to a very secretive and exclusive college of magic in upstate New York. There he indulges in joys of college-friendship, love, sex, and booze- and receives a rigorous education in modern sorcery. But magic doesn't bring the happiness and adventure Quentin thought it would. After graduation, he and his friends stumble upon a secret that sets them on a remarkable journey that may just fulfill Quentin's yearning. But their journey turns out to be darker and more dangerous than they'd imagined. Psychologically piercing and dazzlingly inventive, The Magicians, the prequel to the New York Times bestselling book The Magician King and the #1 bestseller The Magician's Land, is an enthralling coming-of-age tale about magic practiced in the real world-where good and evil aren't black and white, and power comes at a terrible price. More on Goodreads.