A well-written atmospheric thriller, Depraved by Harold Schechter (1994) is all true! You won't want to put it down. The story follows the hard-to-believe life of Herman Mudgett aka H. H. Holmes, a cold-blooded serial killer active at the end of the 19th century. A contemporary of Jack the Ripper, Mudgett seems to have been more prolific. He confessed to 27 murders. Others have placed the number over 200. The true number may never be known.
The investigation that finally tracked him down is as exciting as the best TV detective shows. It reminded me of Harker and Van Helsing chasing down the Count at the end of Dracula. And you might recognize H. H. Holmes as one of the men profiled by Erik Larson in The Devil in the White City.
Schlechter is also the author of Deviant and Fiend, two more true crime stories. I haven't read them yet but they're on my list.