I assume we're talking about works of fiction. Usually they don't unsettle me, and I'm not sure whether this is the most unsettling, but it's the first one that comes to my mind, namely Jano by Torsti Lehtinen (it would be "Thirst" in English, but hasn't probably been translated).
It's basically quite usual growth novel, but the unsettling part is that it has no catharsis. The protagonist thinks several times that he has found the answer, but always finds out that he hasn't. Lehtinen is an existentialist, and the book brings up some valid points of the movement, and I appreciate it for that, but after reading it I understood that book has to provide hope, even if by being untrue. It wasn't bad book though, as the beginning was quite interesting.