The Baroque Cycle by Neal Stevenson did that for me. 2700+ pages and it felt like I needed more
I've never been as angry as when I got to the end of the first book and found that the bastard had hidden the glossary!
The sheer number of people and events…

Some people have to wear leather collars or dye their hair or get facial tattoos to proclaim themselves.

I tell people I like a 1,200 page comedy novel about the founding of the english banking system.