book 5 of the wheel of time (the fires of heaven, robert jordan) - i dig this series. its fantasy, but you really get the sense that its a bigger world, well thought-out and compelling.
neverwhere (neil gaiman) - recommended in a previous thread by jeni i think. good stuff.
the castle of otranto (horace walpole) - considered the first gothic novel, its got atmosphere. not especially scary, but defininitely an interesting read.
~james