The first book that ever grabbed me and made feel like I couldn't leave was blackout by Chris Ryan although that feeling soon wore off. Id have to say Stephen Kings 'Dark Tower' books have gripped me like none other, particularly the earlier books in the series. My current read though, Brandon...
I'm currently reading 'The final empire' mistborn book 1 by Brandon Sanderson. I've got Gardens of the moon to read next but I have a feeling I may end up starting book 2 once final empire is done.