In his Powells.com Q & A, Phillips named "Five Novels That Make You Feel Like You Might Know Something about Life During the Collapse of the Hapsburg Empire:"
The Radetzky March by Joseph RothRead the complete interview.
The Man without Qualities by Robert Musil
The Sleepwalkers by Hermann Broch
The Rebels by Sándor Márai (or Embers by him, if you prefer)
The Magic Mountain by Thomas Mann (Not the Hapsburgs, admittedly, but you get the idea.)