I’m currently reading Arthur Machen’s The Three Impostors (1895). It’s a sort of episodic collection of vignettes, nested and interlocked in various haphazard ways, very similar to the Arabian Nights. And not that different from a modern blog, really.
UPDATED to add: From Machen’s use of the term and from Wikipedia, I have learned that this genre is known as the Milesian tale:
a complicated narrative fabric: a travelogue carried by a main narrator with numerous subordinate tales […] incorporate[d] into the main tale through the rhetorical technique of narrative impersonation.
Machen’s The Great God Pan was reportedly a huge influence on H.P. Lovecraft. I can see the similarities, even when Machen isn’t describing “the symbol and presence of all evil and all hideous corruption” (page 224) but simply our protagonist walking down the street in a morbid mood (page 247):
It was a Saturday night, and the swarming populations of the slums were turning out in force; the battered women in rusty black had begun to paw the lumps of cagmag, and others gloated over unwholesome cabbages, and there was a brisk demand for four-ale. Dyson passed through these night-fires with some relief …
“Cagmag” meaning “inferior meat”; and for “four-ale” (a phrase of which Machen is IMHO inordinately fond) I turned to Martyn Cornell’s excellent essay “Half-and-half to mother-in-law: a history of beer 1837–1914”. Among other things, I learned that porter is in fact named for the occupation, and why you might hear the phrase “a pint of bitter” but never “a bottle of bitter.”
If you like Lovecraft or Poe, I recommend Machen; and if you like Machen, I recommend Vathek (William Beckford, 1786).