Paul Auster is a master in starting great stories. I haven't always liked his endings, but boy he know how to capture you in the beginning.
The trilogy of New York deals with loneliness, transformation, friendship and mystery... the detective kind :-)
The three stories are independent, but they entangle along the way and you find common elements in all. The last one, The Locked Room, reminded me a lot of Leviathan (though it was written before so it should be the opposite).
These stories are a great way to visit NY/Brooklyn too, as I found myself going back to a map several times to trace the movements of the characters.