Well, Tunnels and Trolls, produced by Flying Buffalo, has a series of adventures that are designed specifically for a single player.  They're similar to [Choose Your Own Adventure][1] type books, but you have a character that has stats that you roll for, you equip them by purchasing equipment, and then, when adventuring, you roll dice and try to defeat monsters, avoid traps, etc., and go to different paragraphs in the adventure book depending on how you succeed (or fail).

They're interesting, but tend towards the very difficult to survive...presumably to keep them interesting for a longer period of time.

The basic rule book and original adventure, Buffalo Castle, can be found at:

However, that adventure isn't the best of their lot, by a long shot.  More interesting adventures are "Gamesmen of Kasar", "Naked Doom", and "Sewers of Oblivion".

Be warned: these are not well balanced, high-quality adventures of the modern ilk.  Still, they fit the description of what you're looking for.

  [1]: http://en.wikipedia.org/wiki/Choose_Your_Own_Adventure
  [2]: http://www.flyingbuffalo.com/bcintro.htm