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Neverwhere by Neil Gaiman: Richard Mayhew is a young man with a good heart and an ordinarylife, which is changed forever when he stops to help a girl he finds bleeding on a London sidewalk. His small act of kindness propels him into a world he never dreamed existed. There are people who fall through the cracks, and Richard has become one of them. And he must learn to survive in this city of shadows and darkness, monsters and saints, murderers and angels, if he is ever to return to the London that he knew.
If you enjoyed this book's real-world fantasy setting and morally ambiguous characters, here are some other titles you may enjoy:
Gods Behaving Badly by Marie Phillips
The twelve gods of Olympus are alive and well in the twenty-first century, but they are crammed together in a London townhouse--and none too happy about it. Even more disturbingly, their powers are waning.... [and] a minor squabble between Aphrodite and Apollo escalates into an epic battle of wills. Two perplexed humans, Alice and Neil, who are caught in the crossfire, must fear not only for their own lives, but for the survival of humankind. Nothing less than a true act of heroism is needed-but can these two decidedly ordinary people replicate the feats of the mythical heroes and save the world? (worldcat.org)
Little, Big by John Crowley
Little, Big tells the epic story of Smoky Barnable -- an anonymous young man who meets and falls in love with Daily Alice Drinkwater, and goes to live with her in Edgewood, a place not found on any map. In an impossible mansion full of her relatives, who all seem to have ties to another world not far away, Smoky fathers a family and tries to learn what tale he has found himself in -- and how it is to end. (worldcat.org)