My all-time favorite is House of Leaves by Danielewski. It's such an interesting piece of literature that I can't possibly begin to put into words my fascination with. I believe it should be required reading, even.  Other literature I enjoy are the works of Edgar Allen Poe, Mountains of Madness by Lovecraft is something I'm in the middle of, and it's a good read (But not nearly as good as House of Leaves).