Uncertain Endings, edited by Otto Penzler, has some excellent short stories with “undecided” endings, along the lines of “The Lady or the Tiger?” In fact, one gives the answer to that story.
The man opens the door, only to discover that the princess was pointing to the tiger. Quickly, he opens the other door, releasing a maiden, and then hides behind the two open doors while the tiger kills her. Later on, he’s executed, and went down in history as the Unrepentant Thief, crucified beside Jesus. He felt that he deserved to spend eternity in Hell for what he’d done.
There “To Be or Not To Be”, a choose-your-own adventure of Hamlet by Ryan North: http://www.amazon.com/To-Be-Not/dp/0982853742
It’s a stitch. We haven’t gone through even half of the paths yet, but there are paths in which Hamlet invites Ophelia to come see the ghost, and she seduces him so that he pays no attention whatsoever to what the ghost is saying and where Hamlet becomes captain of the pirate crew. To name but a few.
A famous example is Hopscotch by Julio Cortazar, a Latin American novel from the 60s. I think technically there are only 2 possible pathways, although it may leave you open to pick a different route through the chapters. Looks like it’s still in print.
In another current SDMB thread someone talks about a genre called African dilemma tales which have a vague resemblance to Choose Your Own Adventure stories.
Livingston Press just published what may be the most literary choose your own adventure* novel to date – If, by Nicholas Bourbaki:
http://againstthelogicians.wordpress.com/2014/08/19/if-the-novel-arrives/
If anyone would like a review copy, just drop me a line through the Wordpress site.
(* Turns out “choose your own adventure” is a trademarked phrase, so I should say that it’s not really a CYOA novel…)