I know you asked about books, but Titanic comes to mind right away. And that movie Inception, which is frame within frame within frame--it was hard keeping track of everything. Oh, and one of my favorites: Amadeus! Another favorite: Slumdog Millionaire.
But books: One Thousand and One Nights, Wizard of Oz, many of the Indian myths are told with a frame (Bhagvad Gita is part of Mahabharat).
I hope this helps. I think you have to have a fantastic storyteller voice to pull this off.