Haunted- Chuck Palahniuk

I wouldn't call this explicitly horror, at least not horror in the sense of things that go bump in the night. It's horrifying, in the most human sense.

The author said he would read the first chapter of the novel and people would throw up, pass out, etc. A cousin of mine read the first chapter to me when I was fairly young and it stuck with me for years. When I was 15, I picked it back up and read it all the way through. It grabbed me, pulled me in, and refused to let me go until it was sure that I was no longer the same person I was during that grueling first chapter.

It's beautifully philosophic, if you can get through all the disturbing and detailed accounts of the lengths people will go to when they have nothing to lose but the chance for infamy.