I'm not as well read as a lot of you people here, you all have some really good picks, many that I've never heard of. The only thing I've read that I can think of right now that was pretty f'd up was "The Jungle" by Upton Sinclair. It's a pretty common, well known book but if you've never heard of it, it's about an immigrant that gets a job in the meat packing industry in Chicago around the turn of the century.
It starts with the main character full of optimism, willing to show up at the meat packing plants every morning until he gets hired on. Once he gets hired, it's basically all down hill from there. He gets hurt, loses his job, finds out the "new" house that a realtor sold him wasn't new at all and that he was conned into purchasing it at a greatly inflated rate and this was all part of a larger scam the realtor was running where they charge outrageous interest on a property until something inevitably happens where the buyer can no longer make payments. The house is then seized, put back on the market with a fresh coat of paint, and the con begins all over again.
His wife eventually turns to prostitution to make ends meet, and the main character ends up leaving his family and getting involved in petty but profitable crimes like strong armed robberies. Things start to look up for the main character now that he's free from the responsibilities of a family and he has some minor connections in organized crime, but he finds out that in Chicago it doesn't matter how well connected you are, someone will always be higher up in the food chain. It does a pretty good job of conveying the greed and hopelessness of cutthroat capitalism (this was the point IIRC as Upton Sinclair was a socialist).
All these horrible things that happen with the main character are pretty f'd up and that doesn't even get into the disgusting detail of how the meat packing plants were managed in those days.