Child 44 by Tom Rob Smith
Back when I was much younger and still lived in Germany with my parents, we used to rent a lot of movies. Some of them were rather obscure on occasion, including an HBO film called Citizen X. I don't think I quite understood everything that was going on at the time (I was less than thirteen) or the context, but for some reason, I remember the movie. It was very dark. It's based on the true story of the investigation of a serial killer in the Soviet Union. At that point in time, I was too young and uninformed to realize that living in the Soviet Union might give a serial killer certain advantages.
This book is partially, loosely, based on that same case. The novel, however, takes place right around the time of Stalin's death, so there is even more fear and paranoia in the population, and the government isn't even willing to admit that a crime is being committed - after all, capitalism leads to murder and perversion; everyone in the Soviet Union is too happy to commit crimes.
After what should have been an usual arrest, Leo, the main character and a high ranking official in the MGB, starts questioning the system, and is demoted and exiled. While in his new position, he begins to see a pattern of murders, and despite the danger it puts him, decides to investigate it privately.
The novel is much more than just a murder mystery since it also deals with the repercussions of living under a controlling and paranoid state that's based on the idea of mistrust. Throughout the novel, Leo has to deal with the person he has been and the lies he has told himself throughout his life, discovering that his faith, his job and even his marriage weren't what they seemed. It's definitely a quick and entertaining read, but involves more thought than an average mass marketed thriller/mystery.
I've actually seen this book discussed in several other places online, and for the most part, the reviews have been positive, such as this one.