The New York Trilogy - Paul Auster

I gave up before starting the third story, having forced myself to read through both "City of Glass" and "Ghosts". They didn't really read as detective stories - more like elaborate meditations on the theme of identity.

I can't put it better than P.D. Smith does in their Amazon review:

"The description of the book is that it's a 'detective' book - well, if you like detective books, this probably isn't one for you. Yes, there are detectives in the book, and they do detecting, but they aren't investigating crimes, and they are all ultimately unsuccessful in their work."

And I had no idea that the stories interconnect, until I read that in the Product Description on Amazon...

Amazon.co.uk link: The New York Trilogy - Paul Auster