Confessions of a Crap Artist, Flow My Tears the Policeman Said, Radio Free Albemuth by Philip K. Dick, maybe. Also, maybe, this book called Lowboy by John Wray.
Interesting. Well, A Scanner & Valis are on my to-read lists (as in I have them, but haven't gotten to them yet.) You might like Radio Free Albemuth, it's supposedly a rough draft of Valis. But check it:
I got the Exegesis off of Amazon for 18 bucks. They were selling it at Barnes n Noble for 40.. Maybe I happened to check Amazon at the right time?