What comes to mind immediately is From Moscow to Petushki, by Venedikt Erofeev, which I finished just before registering on these boards, hence the user name. Unfortunately, I have been unable to find a translation into English. Perhaps the Russophiles on the SDMB have some info on this. This book initially makes you laugh out loud, and gets progressively darker until a rather disturbing conclusion.
Oooh yes. Wanna be really creeped out? The for-real stuff is good for that. The Evil That Men Do by Stephen Michaud and Roy Hazelwood, Dead Men Do Tell Tales by Michael Browning and William Maples, and of course the John Douglas books mentioned by the estimable dropzone, Mindhunter and Journey Through Darkness. Then there’s The Serial Killers: A Study of the Psychology of Violence, by Colin Wilson and Donald Seaman, and a number of anthologies by Anne Rule.
The Colin Wilson book and the John Douglas books are the best for a clinical examination of the issues, with some theories presented as to why this has only become an issue since the eighteen hundreds or so.
My two top non-fiction choices for the “Makes you want to stick your head in the oven and turn the gas on” award goes to:
The Nazi Doctors: Medical Killing and the Psychology of Genocide by Robert Jay Lifton - a searing indictment of my profession, and it completely explodes the notion that monstrous crimes MUST be committed by monstrous people.
The Destruction of the European Jews (the unabridged, three-volume edition) by Raul Hilberg. This is an academic work, so it’s heavy reading, but it examines the systematic way the German state planned and carried out the Holocaust. Mass murder as a mere bureaucratic problem.
What can I say - after you read these two works, the next time you watch Armageddon or Deep Impact , you’ll find yourself rooting for the big rock.
Cities of the Red Night by William Burroughs