I don't think anyone has mentioned this as well. There is a feature in the hardback edition that is absent from the paperback (I own both).
If you look at the inside covers of the book, you will notice that they are covered with very very tiny text in groups of four characters. As a computer science dork, this struck a chord in me.
I began typing the hexidecimal code into a hex-editor one-character-at-a time. After about 400 or so, I got tired of it, and saved the file. After looking at the header of the file, I discovered that it was a .wav file! Danielewski, or someone else involved with the book, has embedded a sound on the actual book itself!
I have yet to find out what the sound is (though I'm sure it's very creepy). Typing it in by hand is too damn slow, so I'm trying to get ahold of some OCR software to convert it to text so I can just feed it raw into the hexeditor.
I will update this article when I do so.
Another physical feature of the book is to be found in the paperback edition. You'll note that the book describes the Navidson house as "bigger on the inside than the outside". The front cover of the paperback is made slightly smaller than the book itself, though it still has a bookmark tab. It's difficult to tell until you try and use the tab, only to find that it seems to be too small. This was certainly an attempt to bring into the physical world the conundrums of the house.