My comfort books have changed over time, and some of them were very situationally specific. My Mom gave me Little Women to read when I was sick, and through most of my adolescence, if I was sick enough to stay home from school, I reread that book. My freshmen year of high school, I spent a week in the hospital. On one of his visits, my Dad brought me all of his Tom Clancy books. Military fiction has never been my thing, but I devoured all of those books because having them made me feel loved.
The 13 Clocks by James Thurber is one of my favorite comfort books. I've read it so many times I can't even really articulate why I love it any more, I just give it to people and tell them that it is amazing. It's also one of the few books that has been a comfort to me ever since the first time I read it. (For years, I didn't have a copy because I had given it away when purging my shelves of "childish" books. Thank God for friends whose blogs have enough readers to cause things to be reissued.)
During law school, when I often wondered what, exactly, I was doing there (and also in Minneapolis) and didn't come up with satisfactory answers to either question, I reread Tom Stoppard's Rosencrantz and Guildenstern are Dead (particularly the Question Game bit) and E. M. Forster's A Room With a View obsessively. The Stoppard because the tone of it captured my frustration with the legal academy so precisely, and the Forster because it reminded me that there were other possibilities. I still turn to these on the days when things fall apart.
Right now, my comfort books are heavily on the spec fic side - the Harry Potter series, Madeleine L'Engle's work (especially the Time Quartet and The Arm of the Starfish). Pamela Dean's Tam Lin, Susanna Clarke's Jonathan Strange & Mr Norrell, Neil's Neverwhere. Tam Lin and the L'Engle were security blanket books, ones that I took with me to every dorm, every too small apartment, ones that helped me ground myself and remember who I was when I needed to. Harry Potter just makes me happy - for years, my password into the University's computer system was "Expelliarmus!" Jonathan Strange and Neverwhere offer just the right combination of heartbreak, and hope.