Books

Subtle, but I thought of another one. Gene Wolfe's The Book of the New Sun (five parts) -- see: https://en.wikipedia.org/wiki/The_Book_of_the_New_Sun

I've seen it described as a "palimpsest" -- where a page has been erased to make room for more writing, but if you're very careful, you can still read the original. At first glance, it appears to be a bog-standard fantasy travelogue, but as you read, you realize this thing is an onion with layers hidden underneath. It becomes a puzzle decoding the whole thing -- a fun puzzle mind you, because there is still an entertaining surface level adventure going on -- and as you peel back the layers, you realize that time travel is in play and the whole story becomes much more interesting. There's a bunch of other sources non-linearity in it too, mostly due to memory transference. While you're reading, you should be asking yourself "who is Severian?"

You could spend your whole life studying this thing.