So many recommendations.
One that's under-read, IMO, is Shot in the Heart (not pulpy at all).
JM - definitely re-read Watchmen. Definitely.
I got through the first half of this in one sitting (haven't finished it) - http://www.amazon.com/Let-Great-World-Spin-Novel/dp/0812973992
I guess that means it's a page-turner?
For a very long time, short stories were seen as the artistic side of prose, and novels were considered fluff. Grapes of Wrath is a good example where most of the character-driven chapters are just disguised short fiction and can be read independently. If you've never read Junot Diaz he'd be a good place to start for some newer stuff. His pulitzer winning novel is a good place to start...