I hoped to have answered with a "yes" but as I sit here, I am realizing that the fiction works I really enjoy are all rather disturbing. Flannery O'Connor and Shirley Jackson, two of my favorite authors, disturb me with their works but I so enjoy!
John Wyndham Franz Kafka Ray Bradbury
~ three more authors I really like. They disturb me, too.
My other answer -- I sort of forgot to say clearly that much of my favorite fiction revolves around stories that I would never want to actually happen. They're very uncomfortable. But they're glorious for me at the same time.
Your question has made me begin to examine myself in this area. I love movies which are fiction, even the ones based on facts. There is always straying from the truth in some respect. No problem there at all. However, when it comes to anything in writing, I have a real thing about fiction. Someone recommeded a book which I read a few years ago (wish I could remember the name). I read it and thoroughly enjoyed it until I discovered it was not a true story. I was very upset, infact I'm still upset about it. It's like being lied to for some reason. I need to get over this very strange annoyance for sure.
I've had a similar reaction!! And I can't remember if it had been a book or a movie -- I think it was a book. But the fiction was written in a die-hard true event style. When I found out it was not true, I, too, had felt manipulated and lied to.
Benedict Arnold 