I'll second "The Moviegoer." It's one of the best things I've read in a while, and I think there's a definite connection with 'Notes from Underground,' for instance. Both convincingly portray characters who are in certain ways despicable—more subtly with Moviegoer—and yet also relatable, especially in ways that derive from probably philosophically and/or socially induced mental conditions.

If you've read The Stranger, I'd describe The Moviegoer as a deeper take on a similar subject, with a more interesting backdrop.