Yes, many times. This happens always while reading any novel, unless it's too boring or just not good enough. But it's the after effects that scare me sometimes.
Usually, novel simply hovers around our mind, that's normal. But sometimes, it overpowers our mind and, it feels as though we're obsessed with what we've read. I somewhat hate it when I go off-course from reality and feel lost after having completed a book. I do get deeply engrossed and there'll be times when I dream about the characters in my sleep, when I'm reminded of the characters in daily life... I sometimes have hard time dealing with these after effects, and immediately, I feel the urge to read a book which might help re-orient myself.
The most recent extreme experience was when I read Wuthering Heights, IDK why it had such an impact on my psyche, my behaviour and all was kind of altered for 3-4 days, my parents thought I was depressed with something. I couldnt explain my embarassing situation... it was a strange situation. I thought I was going mental. I also recently read Caryl Philips' Nature of Blood and Crossing the River, and the female characters in these books also had an impact on me for quite sometime..
