I see several have nominated it already, but even if you don't happen to like the album or the band personally I think Pink Floyd's The Wall is THE powerful album for XJWs. It's clear, sometimes brutal themes of loss, abandonment, alienation, madness and ultimate despair and ostracism matches the JW life to a tee.
For those who aren't sure why so many have nominated it, the album follows Pink who grows up the harassed son of a neurotic and domineering mother after dad died in the war (the neurotic and domineering WTS even calls itself 'mother' as if to make the parallel clear!). Pink's life spirals out of control until he's had enough and builds a wall as a barrier between him and his world: something many unhappy JWs do just to survive trapped in the con they are God's chosen people and God chose a bloody awful life for them. He goes mad in his own bedevilled world behind the wall, like JWs sometimes do, then as the wall crumbles he has to face the awful reality of life and his place in it.
Well, that's what I think it's about anyhow. I thought that as a young and miserable JW boy feeling abandoned to a mad and horrible world of alienation, repression and quiet desperation. It helped me stay a bit sane knowing somoene else knew and gave me songs about it.