Well, I've read a number of books that I'd rather didn't "stick" with me. The most notable example of this is Patricia Highsmith's A Dog's Ransom, which is a book I'd never recommend to anyone I liked. It's good, and well written, but it gets more and more depressing as you read on. I kept reading it thinking: Things have to get better! They just have to! But I underestimated the talented Ms. Highsmith.
My dad once loaned A Dog's Ransom to a neighbor friend. She never borrowed a book from him ever again.
That said, Patricia Highsmith is a brilliant author. Her best known work is Strangers on a Train, the source of Alfred Hitchock's best movie IMO. Hitch made the story much more cheerful and uplifting. Great carousel music. Bang! bang!
The Cry of the Owl is excellent, as is Claude Chabrol's 1987 film version which captures the book skillfully and retains all of its character even though it's moved from Upstate New York to Provincial France. I recommend both. Sticks with you, but not in an unpleasant way.
Be careful with Patricia Highsmith stories. "The Terrapin" is chilling and definitely "sticks" with you. "Ming's Largest Prey" is a terrific story if you love cats. If you hate your wife's cat, you probably won't like the story.
I've never read any of the Ripley novels or seen any of the movies.
One way I judge a book is whether it "sticks" with me after I've finished it. Coldbrook is like Dream London in this regard (click here to see my review of Dream London) -- I'm still thinking about what I read and contemplating what I would have done had I been part of the story.