I just finished reading My Sister, My Love by Joyce Carol Oates. The book is based on the Jon Benet Ramsey murder case, but told from the point of view of the older brother. It was really heavy and more than a little disturbing, but I loved the way she wrote it, the very unconventional narrative.
Speaking of Shanghai Baby, Wei Hui wrote a sequel to it, Marrying Buddha, which was not nearly as good as Shanghai Baby, in my opinion. The main character has moved to the States and a lot of the book takes place there, and it seems that without the Shanghai backdrop the author sort of loses something.
A similar book if you liked Shanghai Baby would be Candy, by Mian Mian, and then Beijing Doll, by Chun Sue, both of which which are also heavy on the sex, the drugs, the rock and roll, and the supposed controversy. They all have the same sort of "banned in China" shock appeal, and I guess they are not what people -- especially the folks back home -- expect from Chinese writers, so they've gotten attention for sort of being, according to their Western publishers, some kind of voice for disaffected Chinese youth.