When I was a kid, I had this illustrated book set in an horror/fantasy/sci fi genre, where each page was a large, detailed illustration with some story notes on the left and right margins (or maybe the illustration on the left page, and notes on the right).
Each page was set in a different environment (I recall pirates, haunted house, futuristic base and/or mad scientist laboratory), all of which with some grim details (even though it was still for children, maybe aged 10+). Two characters, a boy and a girl, were to escape each scene.
What was particular was that at the beginning of the book, you had to chose between several icons (things like a skull, an axe, a bat, a goblet, etc.) and follow the "story" according to this icon. For example, after seeing a pirate hung to a mast, you had to go to the upper deck if you chose the bat or the axe, or to the lower deck if you chose the skull or the goblet. Each choice had its own illustrated situation in the bigger picture with the boy and the girl, and a short description of what happens, and some lead to their (horrible) demise. If I recall correctly, the only icon leading to the "good" ending was the axe.
The illustrations were very detailed (and quite gruesome), but unfortunately I have no clear memory of what. There was some zombie pirates with bits of flesh exposed (since there were many situations in a single large scene, every character was rather small, so not that much detailed, but red/pink fleshy bloody stuff was definitely recognisable), a green tank making some paper mache clones and probably a big spider near that, and maybe some futuristic base where everyone died (but I'm unsure of that).
The book was French, and may or may not have been issued elsewhere. I read it around the year 2000 (plus or minus 3 years).