The Club Dumas
I think this is Arturo Pervez-Reverte's best-known book (at least it was the first one I'd heard of), but it gets bogged down in all the theory and history of Alexander Dumas and The Three Musketeers. Pervez-Reverte seems almost giddy on those subjects.
It reminded me a bit of Neil Gaiman's Neverwhere, with it's main character thrown into an alternate world, though not so literally in the case of The Club Dumas.
I spent 300-plus pages getting sucked in (despite my annoyances), only to be disappointed at the end. The reveal was a cop-out.
The Club Dumas and Pervez-Reverte's later Queen of the South have a lot in common: They're both thrillers without being dumb about it, and they both have a main character who's essentially going it alone. But Queen of the South was ultimately more rewarding.