I’d have to go with The Manuscript Found in Saragossa, by Jan Potocki. When I read it, I was convinced for the first two-thirds that it was fantasy, or an elaborate ghost story at the very least. It’s got interleaving narratives, documents left in strange places telling stories that somehow directly relate to the lives of those who found them, conspiracies playing off other conspiracies, strange and beautiful women who seduce men and then disappear during the night, leaving only the bodies of hanged men in their places (and who then come whispering outside your door, asking to be let inside, for they are so cold . . .), all told in a framework of stories within stories within stories within . . . you get the idea. The sheer amount of depth and strangeness just floored me, as did its breathless, then-what-happened and what-scandal-now voice.
But because of how I was reading it, I could never quite believe the ending, because even though it was just as strange and hyperbolic, the fantastical element of it had drained away. I still think of it as fantasy, in many ways, and I still look to how it builds not just suspense but the slow revelation of knowledge from many different points of view . . . not all of which are reliable.