I must make a nod to the series of books by Steve Jackson and Ian Livingstone entitled Fighting Fantasy which reach their 30th Anniversary this year. The books, that later spun off into electronic games versions and other collectibles did not 'work' in the linear fashion we might expect of books. They were, in fact, adventure game books that could tell a different story depending on the choice the reader made. Starting on the first page, the reader (taking the role of an adventurer in a fantasy world) would be presented with choices that were followed up by a linking narrative elsewhere in the book. Along the way, the reader would battle fantasy creatures and meet with characters that were dotted around the book between pages set very wide apart. The right choices would lead to a successful a story's end; not necessarily on the last page of the book. The RPG element really did capture my imagination as a child, and it was possible to make different choices each time you read the book and go on completely different adventures with a very different outcome each time.
The fantasy art was a key aspect, such as this illustration taken from 'City of Thieves' by Iain McCraig.