There are, embedded in novels and works of non fiction, short stories of exceptional quality. Some day I'll put together an anthology of such works. In the meantime, one such short story is chapter 21 of part two ("Book the Second: Riches") of LITTLE DORRIT by Charles Dicklens. The chapter is entitled "The History of a Self-Tormentor." It's quite incredible.

The whole novel (in public domain) is available here: http://www.gutenberg.org/cache/epub/9...
You'll find the chapter easily if you search "self-tormentor."

"Prisoner on Hell Planet" in Art Spiegelman's MAUS is an example (thank you, Melissa Weininger). The most famous examples of this kind of thing are probably the Grand Inquisitor section of THE BROTHERS KARAMAZOV and "Before the Law," in THE TRIAL. That parable was also published independently by Kafka well before the posthumous publication of that novel. The incorporation of independent and previously-published pieces into fictional works is probably a sub genre of what I'm thinking of as "found" art within larger works.

Matt Valenti mentioned to me on Facebook "The Goblins Who Stole a Sexton" in the PICKWICK PAPERS. That's an excellent example also. There are a number of those tales in PICKWICK PAPERS because Dickens was imitating DON QUIXOTE and Cervantes' book has those embedded tales as well.

See also Case #129, a heart-breaking and beautifully written confessional tale, in PSYCHOPATHIA SEXUALIS by Richard von Krafft-Ebing.