Closer

For me, plotless stories are always a hit or miss, but with Dennis Cooper, something about the scene he sets up, the characters involved, always makes me so fascinated. 
This is a type of horror that I've really come to enjoy. Slow, disturbing, and you're wondering where the hell it's headed. The characters all come from difficult backgrounds, and are very detached, if I can say that. 
I understand this book isn't for everyone but it terrifies me and I love it.