I don't know if it's been brought up in this thread yet or not, but I really like Mark Z Danielewski's "House of Leaves"
If you haven't read it, I'll try to explain it without too many spoilers...
The book is about a book that is about a movie that doesn't exist that is about a house that is bigger on the inside than it is outside. (Mathematically impossible, obviously)
Alongside this, there is another story about the guy who found the book named Johnny Truant, and his battles with depression, drugs, alcohol, and existential crises. This takes place in footnotes throughout the book.
It's a difficult read, due in large to how the book is presented. It uses blank space to create a feeling of tension at some points, and some parts are like reading your way through a maze. (You'll have to see to understand what I mean) And the book refers you to other parts of the book throughout, and you have to skip around to get a good idea of what's going on. There's also a number of other languages throughout, as well as quotes (both real and not) by people (both real and not) throughout.
Probably my favorite book.
Also, Mikhail Bulgakov's "The Master and Margarita"
Really good book, took me a while to get into, but it's about Russians, Satan, witches, Pontius Pilate and Jesus... Really good read too, if a little confusing as far as name goes. (Like Ivan Nikolayovich and Niko Ivanovich)
Am I cool?
(Edit: Also, there are many many codes and hidden messages well... hidden... through House of Leaves.)