Addition

I'm adding Joseph McElroy's Women and Men to the list because, well, I got a Daedalus Books gift card for Christmas and their store had it for $5.

It seems to fit on the list because:
a) It's 1192 pages long,
b) This mention on the Millions blog compares it to Pynchon, Barth, Gaddis and Wallace who all appear on the list,
c) The cover is as grey and ominous as Underworld's, not to mention the title being similarly ambiguous.

The book's review in the NY Times makes me a little nervous, explaining that information about the characters is "set forth in a viscous, arch, hectoring, information-crammed, unparagraphed series of the longest sentences since William Faulkner's." I read The Bear in college and remember not enjoying the 2 full classes we spent dissecting one of 'tha Faulk's huge sentences. Not seeing paragraph breaks on a page puts the fear of God into me. Women and Men will probably go at the bottom of the pile for now.

Note: I also considered Norman Rush's Mortals (also mentioned in the Millions entry above), but the nicer, cheaper, hardback copy that Daedalus had wasn't 700 pgs. Sorry Norm.