Pessoa created his own worlds. Reminds me of Henry Darger. Check out IN THE REALMS OF THE UNREAL if you haven't seen it http://www.youtube.com/watch?v=MSzzirIP0No.
You might like Gormenghast: http://en.wikipedia.org/wiki/Gormenghast_(series)
Wyndham Lewis's novels, especially the Human Comedy that he wrote at the end of his life, are something I've always been meaning to get to. It's hard to tell if they're meaningful or impenetrable.