House of Leaves by Mark Z. Danielewski (brother of songwriter Poe) wrote an excellent book that can cause extreme headaches, but as with any type sado-masochism, it is well worth the pain. The book can be seen as horror, but the creepiness is not as apparent as something by Stephen King or John Carpenter.
The book is a written "doctoral" thesis of a very intelligent man, Zampano. Zampano writes about a documentary that never existed, The Navidson Record. The other "author" is a junky named Johnny Truant who tells you his story throughout the footnotes. Finally the "editors" fix mistakes, etc. also in the footnotes.
The Navidson Record does not exist in our world as a documentary, nor does it exist in the world of the book. However, when Zampano discusses the documentary in his thesis he cites reviews about the it, discourses on it, interviews from the people documented, etc. In other words, it feels like Zampano is creating the documentary as he writes (and the horror to go along with it). This is not giving away anything as the prologue explicitly states this fact. However, it disturbingly adds to the realism when you read the footnotes and you desparetely want to read (or watch) some of the material that is cited.
The Navidson Record is about a legendary filmmaker who buys a house that has more space on the inside of the house than the exterior should allow. In other words, on the inside it measures X feet long, but on the outside it measures Y feet long where X is greater than Y. After living there a few months a hallway appears. This hallway does not connect to any other part of the house, and instead leads off to a space that should not exist. Zampano likens it to the Labyrinth. The documentary is so unreal and the horror so fundamental that the thesis that is created from it sucks you right in as if you were watching the documentary.
The Dan Z. also adds another interesting effect to his book (on top of the experimental writing style). Every time "house" is written it is blue. Anything written about a Labyrinth or Minotaur is in red and struck-out (sorry I can't figure out how to strikeout text). This is perfectly catches you. You will search for the word house in a sentence and even re-read it to make sure it is blue, and the text in red seems all the more important. The book also has a few warping effects where there will only be three words on a page or the text is upside down, etc. Sometimes this effect really took the theme and mood home, other times it was annoying.
Other reviewers have commented that Dan Z. uses a writing style that mocks the current doctoral paper system. The thesis is written with an air of pugnancy and Zampano cites so many things (some real) that it gets to the point of ridiculousness. Some of his string cites are 5 pages long. Because of this writing style, you will find yourself skipping large sections discussing tangents that really make no sense. I think this was the point, i.e., the section was written in hopes that the reader would skip it because it makes it all the more real.
I highly recommend the book but beware that it does take some measure to read. The pain received from it is well worth it, and when you walk away you might have a slightly different view of things.