This topic has been mentioned before, in the thread called Metasongs, songs within songs.

I once read a novel in which the narrator dies at the end. Well, he doesn't exactly say "and then I died" but he does, on the last page, describe himself in a situation where there is no possible outcome except his death. And there is no one around to listen to his story, no paper to write on. Is that spooky enough for ya? I'd tell you the name of the novel, but I just spoiled it for you didn't I?