Great idea! I've just finished The Devil in the White City. Just out in paperback, I believe. I learned a lot about the Chicago World's Fair and the man who may have been America's first serial killer.
The work is non-fiction and heavily footnoted, but it reads like a popular novel. 3.5 stars out of 5.
I would also recomment Eco's 'The Name of the Rose.'
I've read Devil in the White City as well. I can't fathom how those structures were constructed in a relatively short time without modern machinery, but with mostly manpower. I do wish he had some more photographs in it.