I noticed that no-one mentioned The Story of O, by Pauline Reage (that's not quite the right spelling of the author's last name, but the title will bring it up just fine.) This is fiction, and I have read a few quibbles with it, making it a little bit fantasy, but it is one of the classics.
slackyb, Carrie's Story was mentioned above-I enjoyed it, too, and there is a sequel, which I have not read yet (when it's at the store, I don't have the money, when I have the money, it's out of stock. Thanks, Murphy.) The Anne Rice Sleeping Beauty series is good, and her Exit to Eden is okay, too-nothing like the movie of the same name, although the movie was supposed to be based on the book.