Book of Illusions, Paul Auster
The device: a story within a story. The inner story is better than the outer but both are very good. Outer story features everyone except the hero getting dead, which is a bit much. The inner story too is full of pain and closes with a rather unbelievable burn-my-stuff-when-I-die scene. Auster seems pretty unhappy but his characters never lead normal lives or have jobs that are altogether necessary. Summation: read it for the excellent fear-of-flying section.