This is an offshoot of the "Gateways to Wonder" thread.
Choose your own adventure stories! The idea was that you would read a paragraph or page and then be given choices about what would happen next. The first I ever read was a story about a cat called lucky who ended up on a Pirate ship from what I can recall. (doesn't sound very lucky to me)
Of course, these soon game rise to the "Fighting Fantasy" series of books. I'm pretty sure the first one was "Warlock of Firetop Mountain" but the first one I played was "Deathtrap Dungeon". Yes, played. These weren't simply books, they were mini RPGs. You had to keep track of your hit points and in some cases more stats. Depending on your decisions you would occasionally have to fight creatures and these fights were carried out using simple dice rolls.
I remember playing a few games in the "Lone Wolf" series. These were really cool cause they had printed dice in the top corner of each page so you could just "flick" for a random dice roll. Perfect for playing on long car trips!
The coolest version of these were the "Combat Encounter" series. These were books that came in pairs and you competed against a friend or sibling. Each of you had a book, either the Black Baron or the White Wizard. You looked at the picture of the corridor in front of you and decided which was you were going to move. Each move had a number under it. You would call aout your number, your friend would call out their number. Now here's the clever part. If the number he called out showed up under your number you went to the number under that! This meant that by clever crossreferencing they allowed you both to play in the same dungeon and hunt each other. It was brilliant! I still have them at home. I wonder are they collectors items yet?
Oh, and I also have 3 Middle Earth Solo Gamebooks. These were like the Fighting Fantasy books, but set in Middle Earth. I think they were published by Iron Crown Enterprises. I have "Mines of Moria", "A Spy in Isengard" and "Treason at Helms Deep"