I tend to run hot and cold when it comes to alternate history stories. Some are brilliant and really make you think about "what might have been." ("The Lucky Strike" by Kim Stanley Robinson comes to mind). Others seem to turn the alternate version of our world into just another fantasy world. There's nothing wrong with that, of course, it just seems kind of pointless to me.
Having said all that, leave it to Philip K. Dick to take the entire concept and turn it on its head. The "twist" in the world of The Man in the High Castle is that the Axis won the Second World War. The United States has been split into pieces, with puppet governments on the coasts run by Japan and Germany and a quasi-independent buffer zone in the middle.
Which is a neat enough idea, but what Dick does is tell several stories tied together by a common factor - another alternate history novel. In that world, a novel called The Grasshopper Lies Heavy is a best seller, banned in Nazi controlled areas, naturally (the Japanese take a more hands off approach). It tells a story of a wild alternate history in which the Allies win the war. It's a brilliant device, allowing Dick's characters to talk about their world and (sort of) ours without turning into huge info dumps.
There are a couple of other things I think Dick was getting at with this novel-within-a-novel. Or at least a couple of things I got out of it.
One was that, while The Grasshopper Lies Heavy gets the big question right (the Allies win rather than the Axis), the details, compared to the real history, are pretty far off. To me, that's Dick's way of saying that alternate history stories - or any speculative fiction, really - shouldn't be seen as predictive. There's simply no way to get it right enough to make the exercise worth it. It's also a cool way to insulate Dick from the inevitable second guessers who would argue that the world he portrays wouldn't have been how the world would really look if the Axis won the war. He essentially concedes the point.
That leads to the other thing I got out of the novel-within-a-novel device. Near the end of The Man in the High Castle, one of the characters gets to have a meeting with the author of The Grasshopper Lies Heavy. Along the way, she realizes that the novel isn't really about the "other" world, but about there own. That seems like a meta commentary on speculative fiction which, at the end of the day, works best when it says something about how we live in the real world.
Having said that, the revelation the character has is probably not the one I read into it. I won't ruin the ending, but suffice to say it does call into question a lot of what came before. I'm not really sure it works, but I'm open to being convinced. Hell, even Dick blames the I Ching (a major recurring theme in the book) for the ending. Who am I to argue with thousands of years of Chinese woo?
The Man in the High Castle, by Philip K. Dick
First published in 1962
Winner - Hugo Award, Best Novel (1963)