Neverwhere by Neil Gaiman
Gaiman's first book, and damn did he start with a bang. It's a totally engrossing adult fairy tale in which mild mannered Richard, by way of helping what he thinks is a young vagrant, finds himself forgotten in his world of London, and now part of London Below, an alternate world of magic and feudalism for people that slip through the cracks. So of course, Richard sets out to get back to the real world, with many adventures along the way, only to learn the time honored fairy tale lesson of being careful about what you ask for.
It's a fantastic story.