I never finished it, but definitely House of Leaves by Mark Z. Danielewski. I'll call it a "labyrinthian" horror story where both the narrative and physical formatting mirror the themes presented in the story. It's hard to describe, but you have to at least find one in a bookstore and look through it. I don't know if audio or digital versions exist, but I'd avoid them, you won't get the whole experience.

Edit: Damn, took to long to write and somebody already mentioned it, lol.