Tom Rob Smith's Child 44

Tom Rob Smith's Child 44 is both engrossing and frustrating. The setting is the late Stalinist era in the Soviet Union (the fact that he dies during the novel is an important part of the plot) and the main character is Leo, an MGB (State Security) officer. He discovers there is a serial killer but the state is unable to acknowledge such a thing can even happen in the USSR unless it can be easily attritibuted to a deviant.

There is a lot of complex plot building in the first half of the novel, especially as Leo and his wife Raisa try to sort out their complicated relationship, a development that intersects with his self-propelled (and therefore illegal) investigation. Roughly 2/3 of the way through the book you discover what's going on (and I had been guessing before that) but it doesn't ruin the story.

The frustrating part is that you must be willing to accept coincidences, a huge one in particular. For me, at least they were worth the price of admission.