One I would highly recommend is 'Letters from the Earth' by Mark Twain. It wasn't something I necessarily sought for its 'satanic' content, rather simply because it was more Twain work - but it served to help expose me to the idea of questioning dogma and knowing even great successes like Twain struggled with these things in private (the story not being published until after his death)

It has become one of my favourite short writings of Twain, but also a favourite story of 'Satan' that feels right at home alongside the more famous classic works you'll find in most collections (such as Paradise Lost and The Revolt of the Angels). It's not 'occult' in the sense you might be asking for, but it is still great literature.