For me those type of books are generally a tome, the first one I remember feeling bereft when I'd finished it was probably Gone with the Wind, I would have been 15 or so when I read that. Later on in my twenties I remember loving The Thorn Birds in a similar way.
Of late I would say these have stayed with me after I'd finished them, in no particular order, Star of The Sea, Joseph O'Connor, The Blind Assassin and Alias Grace Margaret Atwood, The Quincunx Charles Palliser, Middlesex Jeffrey Eugenides The Poisonwood Bible Barbara Kingsolver, We had it so good Linda Grant, The Hearts Invisible Furies John Boyne, The Goldfinch Donna Tart, The Crimson Petal and The White Michel Faber. I've probably forgotten one or two, but I remember loving these books long after I'd finished them.
Urmston I've heard much about A Little Life, some loving it others finding it gruelling but I'm ever looking for that next special book to fall in love with............could this be one of those?