Didn't want to take any more of Cassie's LJ to discuss Dunnett books, which she hasn't read yet, but just wanted to suggest that you try the Niccolo books, which are pretty amazing. And yes, that story is apparently true: the reader came to the false ending of Checkmate and was so horrified that she didn't read further. And if you feel like talking about them sometime, let me know.
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Malsperanza