Johnathan Strange and Mr Norrell. After that book I gave myself permission to DNF though, so it was a maturing experience for me. I mostly wanted to know what happened to Stephen and that's what drove me, along with the "No mere book shall defeat me" attitude.
I really enjoyed all of the Fae short stories actually. I'm not really a horror fan, but I found Fae, and mortals interaction with it, particularly gripping and memorable. I never put the book down when I was in Fae, trapping me along with the victims, perhaps that's why I wanted Stephen to just be ok.
It was just everything else in the book I couldn't enjoy. The titular characters I found uninteresting. The setting, fae excluded, I was apathetic about. The structure, the footnotes, dear god the footnotes.
But the Fae stuff? I'll take 10 more of them in an anthology please.