What are some famous European artworks painted during WWI?

Picasso and Matisse (amongst others) virtually ignored the war.

During this period Picasso abandoned Cubism (The Harlequin 1915) and began his "Classical" period (Pierrot 1918).

Matisse painted; Les Marocains 1916, Le Peintre et son Modele 1916, Baigneuses 1917 etc.

Giorgio de Chirico; The Philosopher's Walk 1914, The Disquieting Muses 1917.

Piet Mondrian; The Sea 1914 (and the series of pictures closely related)

etc. etc.

There are many more, as other contributors will name.

As well as Maturin's very comprehensive answer, have a look at official war artists such as Paul Nash. You can find official war artist reference work at The Imperial War Museum, London. Very important records of a dreadful event.

I think Rene Magritte did his work around that time , he is the greatest artist of all time.