You probably found all of his fiction stuff. He was not a very prolific fiction writer. If I remember correctly, his fiction pieces are : Story if the Eye, Blue of Noon, The Impossible, Madame Edwarda, The Dead Man, and My Mother. But all of those are really short. Story of the Eye, like HATE! said, is rather repetitive and fairly weak. It makes sense in terms of Bataille's psychological/philosophical obsessions, but standing on its own, it does not fair well. His other works, except maybe My Mother and possibly The Dead Man, don't focus as much as fucked up sex scenes (although they are there) to my knowledge of skimming them, reading few of them and in-depth summaries and criticisms of them. I suggested them more so because for me, Batille will write these short scenes or chapters or even a sentence that I'll understand at the time and will continue to stick in my head and haunt me for hours later.
As for HoL, that's what I like so much about the book and Danielewski in general. His weird formats and visualizations are not an ad hoc gimmick to sell his books. They actually enhance the stories. I've read all of his stuff so far and if you're interested, I'd say read The Fifty Year Sword next. It's a really short modern ghost story that you can get through in an hour or two. I actually went to a reading by him of the entire book back in October and it was awesome. His second novel Only Revolutions is good in its own right, but very different from HoL and strange to get into. He's working on a 27 volume third book right now tht I'm excited for tht starts coming out later this year or next year. I think he's planning on shorter volumes every two or three months. He's said that HoL was meant to tackle cinema, T50YS was oral ghost stories, OR was music, and this new one is tackling TV series. He's an odd fellow.
Sorry for the lack of italics. I'm on my phone.