Season 2, Episode 7. Rory reads this when she sits on the couch and waits for her "kidnappers" to arrive.
Season 4, Episode 2. Seen on Rory's shelf as she's unpacking at Yale. 

 Season 1, Episode 4.  Lorelai is helping Rory study for her upcoming English test. She asks Rory what year The Comedy of Errors was published and Rory provides the wrong answer, but Lorelai tells her she was close. 

 A Year In The Life - Spring. 

Season 3, Episode 2. Jess reads this in the diner before school.
Season 5, Episode 9. 

Season 2, Episode 2.  This book title is parodied by Lane as she says Rory can read about her and Henry in her novel A Connecticut Yankee in Busan. 

Season 6, Episode 16.  Rory is editing an article for the Yale Daily News and tells the writer to cut down their prose so she doesn’t have to publish a newspaper the size of a David Foster Wallace novel. 

 A Year In The Life - Spring. 

Season 2, Episode 12.  Rory shows her grandfather her room noting that books are everywhere – even under the bed and in the drawers. When she opens her drawers we can spot a few book titles including Contact.