The Lost Nose: A Programmed Book by John Sladek. The first choose your own adventure? Mayhaps.
Found on the excellent Ansible Links Page.
Ansible a Hugo award-winning fanzine by David Langford and is a fun read (especially if you're a science fiction fan, it may not be terribly interesting if you aren't). I used to get it via email and then I got off the list figuring it'd be better to read Ansible on the web and then I sortof forgot to pay attention as each issue came out. So I had a fun time the other day catching up with a few past issues.