My friend Jason, first told me about Sleep No More and I was too scared to go last year. It's part Macbeth/Eyes Wide Shut/Pick Your Own Adventure. Thankfully the show has been extended since they have been getting rave reviews. I finally built up the courage to go last night and never experienced anything like it. If you're in NYC, I highly recommend it.
I think this was my favorite room (of course the one with envelopes on the wall) and probably the least creepy :)