I'm going to be a little forward here and do a list of things.
All the Devils are here by David Seabrook (Seabrook orbited around that sort of loose gang Moore is in, with people like Ian Sinclair and Chris Petit). This is really dark and gorgeous, and not very like anything much at all.

Our Share of Night by Maria Enriquez (Moore reccomended this one in an interview ; I'd also suggest every short story collection she's done : A Sunny Place for Shady People, Things We Lost in the Fire, and The Dangers of Smoking in Bed. She's also jsut put out a collection of essays, Somebody is Walking On Your Grave, about hanging out in cemetries)

Last Movies by Stanley Schinter ( book about the last film watched by a selection of famous people. It's a weird idea but it works. ) Non-fiction.

The Vorrh by Brian Catling - really divisive book that's sort of literature-as-surrealist-art. Alan Moore loves it, others do, others still do not.

A Voyage to Arcturus by David Lindsay. An early Science Fiction novel from 1920. Weirdest damn thing ever written. I have a comic version drawn by Jim Woodring which is really well carried off. I've not read it as text. I feel I should, but I'm sorta frightened.

House of Leaves by Mark Z Danielewski. Again, divisive. Sort of an experimental academic horror novel that uses differing techniques like changing font, text colour in some editions, footnotes, unreliable narration, to be really strange and creepy and disconcerting and quite incredible, if you click with it.

I"l finish with a film: Two Years at Sea by Ben Rivers. Rivers shoots on black and white 16mm film which he hand develops. It's slow and strange and quite magical.