There are TONS of things I haven't read, but I usually don't feel guilty for not having read them. Like indalomena, I just feel that there are too many and I haven't gotten around to them yet. The more "embarrassing" or "guilty" feelings come from not having read important things in my field...or not recognizing them on the GRE Subject Test. I will forever be pissed at myself for confusing Swift and Pope.
So I don't really feel guilty for not having read Ulysses, even though I study the novel, because I start with the 18th-c. and end somewhere around early modernism (with the exception, perhaps, of D.H. Lawrence). I have never read Henry James, though (besides Daisy Miller and The Turn of the Screw), which seems problematic for a novel scholar. I haven't read Women in Love, or Northanger Abbey, or all of Tristram Shandy. These are the things that bother me more than not having read Proust or (much) Joyce.
Though it does bother me that I haven't read Mrs. Dalloway. I adore Woolf, but for some reason I just never got around to that one. I've read almost everything else, so I don't know why I don't just read it!!