My favorite is Narcissus & Goldmund, which is probably the next one to read. Beautiful book. The Glass Bead Game is excellent as is Journey to the East, though the latter is a bit confusing. I liked Demien, but the allegorical elements went way over my 19yo head. Don't remember much about Rosshalde. Steppenwolfe was popular with my generation because of the drugs, but I found it hard to follow and didn't care much for it.
All of Hesse's novels have mystical elements and a unique view of human psychology. Hesse was a student and patient of Carl Jung, and his novel Demien was written in 3 weeks as a reaction to his treatment by Jung, which Hesse eventually broke off but continued to be affected by spiritually. Hesse: "The life of every man is a path to self."