Cañas y Barro (Reeds and Mud) by Vicente Blasco Ibáñez. The great Valencian novel of the early 20th century, set in the Albufera lagoon among rice farmers and fishermen. Blasco Ibáñez was both a major Spanish writer and a Valencian municipal politician; you can still see his house and library on the Malvarrosa beach.
The Four Horsemen of the Apocalypse, also by Blasco Ibáñez. The First World War novel that made him internationally famous and gave Rudolph Valentino his big screen role. Set partly in the Argentine pampas, partly in France, but the Valencian sensibility runs through it.
The Cathedral of the Sea by Ildefonso Falcones, while set mostly in 14th-century Barcelona, gives a vivid sense of medieval Catalan and Valencian commercial life — useful background for the Llotja de la Seda and the silk trade.
The Sun Also Rises by Ernest Hemingway. Not set in Valencia, but the bullfighting passages were drawn from Hemingway's regular summer trips to the Valencia July feria. He stayed for weeks each year and ate his paella at La Pepica.