Invisible Monsters by Chuck Palahniuk. Most palahniuk is pretty wtf actually.

First one that comes to mind is Swastika Night by Katharine Burdekin (using the pseudonym Murray Constantine).

It's a "What if the Nazis Won the War?" story, set 900 years in the future. However, it was written in 1937, two years before WW2 even started.

It's kind of like 1984, and much of it is quite talky and philosophical, but there are also some bits that are really, really messed up. It's excellent.

Blood Meridian

My english teacher told us about The Wasp Factory by Iain Banks back in the 8th grade and I checked it out of the school library.

The main character is a very eccentric and disturbed teenager who kives on a island with his weirdo father and who built a clock device for ritualized insect deaths, that involves a lot of urination. He gets a call from his brother who escaped the mental hospital and is on his way home, and then things start to get really fucked up.

There is a book community where you might get better recommendations. And also if you explained more of what you mean by "wtf". If you mean like messed up people doing messed up things, well I've got nothing, but if you mean books that make you scratch you head and just say "wtf" because it makes no sense, but is good, then either the Southern Reach Trilogy or House of Leaves

Lesabendio by Paul Scheerbart comes to mind. But It's not wtf in a disturbing sense like these books. More like 'wtf am I reading?' - it's a really unique and imaginative early sci-fi book.

Kill Your Friends by John Niven is sometimes compared unfavourably in reviews to American Psycho (probably due to the ruthless, callous, murderous businessman main character Stelfox, a record label A&R man) but i prefer it, mainly because it's very funny. it also has a spinoff, The Second Coming, in which Jesus enters and wins a pop idol type competition run by Stelfox and uses the winnings to set up a Waco style commune, and a sequel, Kill 'Em All, where Stelfox, after becoming an established Simon Cowell type mogul, gets up to further grotty business.

But if you want severely wtf material, The Bighead by Edward Lee will satisfy

A Scanner Darkly or Do Androids Dream Of Electric Sheep by Phillip K Dick.

Fight Club, Guts, etc.

Random Acts of Senseless Violence by Jack Womack

R Scott Bakker's books if you're feeling like questioning your free will. Beautifully bleak and philosophical. Imagine if Tolkien had his heart broken instead of marriage and wrote on that.

We make a sad couple,” she said, as though making a casual observation.

“Why would you say that?”

“A sorcerer and a harlot . . . There’s something sad about that.”

He grasped her hand and kissed the tips of her fingers. “There’s something sad about all couples,” he said.”

Trout Fishing in America

Conspiracy Against the Human Race by Thomas Ligotti

or

Story of the Eye by Georges Bataille

The Sluts by Dennis Cooper

Crazy read

Assisted Living by Nikanor Teratologen. (Original title Äldreomsorgen i Övre Kågedalen for Swedish lemmings). Don't read up on it. Go in blind for a pristine experience.

What The Hell Did I Just Read

Anything by William S Burroughs
Last exit to Brooklyn by Hubert Selby Jr
Anything by Charles Bukowski

On a lighter note, the Dancers at the end of times by Michael Moorcock, and any other tome involving Jerry Cornelius, its multiple avatars, or Karl Glogauer.

'In the Miso Soup' by Murakami Ryu might do what you are looking for. Found it by accident looking at Murakami Haruki. Japanese guy is a local guide for an unusual american.

I didn't finish it but there is also 'Baby Jesus Buttplug' by Carlton Mellick. Been meaning to get back to it at some point. WTF is his whole schtick.

The works of Cormack McCarthy are also wtf books, but less in the 'WHAT THE FUCK!' more in the vein of 'Oh, god. What... the fuck...'

The Five Fingers by Gayle Rivers. Might be one of the goriest books I've ever read.

The diceman, Luke Rhineheart.

Homunculus manga. Check it out!

I Shall Spit on Your Graves - Boris Vian

Ordinary Men: Reserve Police Battalion 101 and the Final Solution in Poland

This book rewrote my view of humanity in a dark way