There's certainly no shortage of nonfiction books of the paranormal, occult, and esoteric tableaux. I can vouch first hand that the New Age section at Barnes and Noble is exponentially larger than it was just a couple years ago, and not just due to Miss Sylvia Brown's many- shelved-things.
There's a lot to choose from; a whole UFO-y, ghostly, metaphysical buffet on our plates. If you're like me, you have a lengthy list-in-wait everywhere; Amazon, Google books (if you haven't checked that out yet—do it now!) There's much, much to choose from. Rock on, nonfiction paranormal books.
Even when it comes to fiction, there's no shortage of paranormal and like-themed offerings. Unfortunately, navigating the horror and science fiction aisles can be a game of hit and miss. There are lots of gems to be found, but they're hidden among more trite, genre-cliched mass markets.
But, over the years, I have found some excellent novels and stories that incorporate esoteric themes. Below are some recommendations and notes. Here, I have purposefully selected some books that are 'esoteric' in more than one way—some are out of print, older, lesser known, marginalized, etc. But, they're all worth the small extra trouble it may take to locate.
Restless Nights, Selected Stories by Dino Buzzati , Dino Buzzati, ISBN 0865471002
Unfortunately for everyone in the world, this title is out of print. I include it here though, because it is perhaps my favorite book of all. Copies can be found at many libraries, and used copies come and go at Amazon at reasonable prices all the time; right now there is but one copy for nearly $100, but I purchased mine a few months ago for about $9. I also have high hopes it will come back into print—his Catastrophe: The Strange Stories of Dino Buzzati is due to be released at the end of this month, and can be preordered now at Amazon. Although I have not yet read this, I can assure you it is a wise purchase, as is anything with his name attached.
Buzzati is often compared to Jorge Luis Borges and Kafka, and I suppose I agree, but his writing is at once and paradoxically more minimalist yet fantastical. If the collective unconscious could ever be personified and channeled, crammed entirely into one unassuming writerly hack with a typewriter and cigarette hanging out of his mouth, it would come close to sounding a lot like Buzzati.
Although most of the stories are set in his contemporary (mid-20th century) they are ancient fables at heart. In the pages of Restless Nights there is the saddest and most tragic crypto-beast of all, Buzzati's self-styled 'colomber', a landed flying saucer (not a UFO--a saucer.), cloud mirages in the sky, and much more. If Buzzati had ever written a Twilight Zone episode--which he did not--but should have, could have; it would certainly be hailed unquestionably as the best ever. Look for anything and everything Buzzati.
The Bloody Chamber, Angela Carter, ISBN 014017821X
Angela Carter's stories are often re-imaginings of fairy and folk tales; from a more feminine perspective, by which I do not mean they are nicer, lighter, sweeter or chick-lit-oriented or friendly. Feminine in a literal sense not merely by narrative and subject, but also in the most esoteric and symbolic sense: dark, internal, mysterious, sexual; let the title "The Bloody Chamber" be the allusory tone-clue here. The stories are filled with vampires, werewolves, forest spirits; its stories modeled after tales such as Bluebeard, Little Red Riding Hood, Snow White, and Sleeping Beauty.
Consolation of Nature and other Stories, Valerie Martin, ISBN 0679721592
I found a copy of this book many years ago in a used bookstore, and bought it because of a blurb on the back describing one of the stories; something about attempting to take off a mask but finding it wasn't really a mask after all. It reminded me of a Twilight Zone episode that I love, with a similar plot device.
Alas, I ended up ignoring the entire book, and somewhere along the way I had given it away or otherwise lost it. Since, with no clues other than the memory of that not-a mask thing on the back--a literary miracle took place; I recently came across that same blurb on Valerie Martin's short story collection, Consolation of Nature and other Stories.
In this book's Amazon listing, there is possibly one of the most damning and dismissive reviews I've ever come across. From Library Journal: "Preoccupied with hatred and death, the tales are either weak imitations of Edgar Allan Poe or reveries of middle-aged women resentful of their personal character deficiencies."
I do not agree. There is no cheap, goth, wanna-be-cool-like-Poe tone at all (and that is quite easy to spot, sometimes even from a cover,) and since when do preoccupations with "hatred and death" combined with resentful, introspective middle-aged women make for poor fiction? The stories are thoughtful, and filled with the fantastic and allegorical. The title is out of print, but can be found at Amazon starting at 16 cents plus shipping.
Salamander, Thomas Wharton, ISBN 0743444159
The Grotesque, Patrick McGrath, 0679776214
Fludd, Hilary Mantle 0805062734
Overnight to Many Distant Cities, Donald Barthelme, 0140075801