Chuck Palahniuk’s Haunted is the first thing which popped into my head.

It’s a ‘diegetic’ anthology, the context is reminiscent of Sartre’s No Exit in many ways, but taken to Palahniuk’s particular style of extreme.

There’s one short story in it which caused furor back in the day, but I honestly found the meta-context to be even more philosophically gruesome.

Edit: may be biased, I got the book as a gift from a girl I used to like a lot, but she… well, let’s just say she was living that book at the time.