In no particular order, here are actually eleven of my favorite books set in the U.S. Midwest:
1. O Pioneers! by Willa Cather - or any Cather for that matter; they're all great and so beautifully paint this part of the country as the pioneers settled in the Plains.
2. A Reliable Wife by Robert Goolrick - dark, oh so dark. The isolation of rural turn-of-the-last-century Wisconsin and the decadence of big city Chicago all wrapped up in one novel. Plus, great characters and lots of surprises.
3. Eleanor and Park by Rainbow Rowell - Rowell's books all have a Midwest setting and she brilliantly portrays the people I'm surrounded by everyday and the cities I've lived in. This one is my favorite.
4. Some Luck by Jane Smiley - This one's the first of a trilogy I'm still on the fence about but I definitely appreciated Smiley's grasp of this part of the country and its people - the beauty and the minutiae of everyday life.
5. In Cold Blood by Truman Capote - in the 1950's, unless you lived in a city, you felt safe enough in your own home to leave the doors unlocked at night. Until one night two men changed all of that. Capote, who was most definitely not a Midwesterner, buried himself in the story and really captured the feelings of the people most closely impacted.
6. The Man Who Ate The 747 by Ben Sherwood - quirky and fun and heartfelt and utterly unique.
7. The Magician's Assistant by Ann Patchett - this was my second book by Patchett (following on the heels of Bel Canto). So unexpected different and such a nice surprise to find an appreciation for small town middle America.
8. The Round House by Louise Erdrich - you could, of course, include all of Erdrich's books here. She shines a light on a place and people that the rest of the country is all to ready to turn their backs on. Erdrich makes readers remember those whose ancestors were here first.
9. Last Night at the Blue Angel by Rebecca Rotert - Rotert is a local writer who set this book in Chicago. She catches that balance between big city life and midwest values.
10. The Coffins of Little Hope by Timothy Schaffert - Schaffert understands small town Nebraska, the good, the bad, and the hopeful.
I'd include all of Kent Haruf's books except they're set in the plains of Colorado and I don't really consider any part of Colorado as midwestern. Likewise, I consider Mark Twain's books, although set in Missouri, to be more Southern than midwestern.
If I'd included children's books, of course you'd also see the books of Laura Ingalls Wilder and L. Frank Baum on this list.
Book Riot has put together a list of 100 Must-Read Books of the American Midwest you might like to check out if you'd like to learn more. Not all of the books they have included are set in the Midwest so I wouldn't have included them on my list. But there are a lot there that I need to get to someday.