Briarpatch by Tim Pratt

Darrin's life has been going downhill ever since his girlfriend Bridget
walked out on him without a word of explanation six months ago. Soon
after losing her, he lost his job, and his car, and eventually his
enthusiasm for life. He can't imagine things getting worse—until he sees
Bridget again, for the first time since she walked out, just moments
before she leaps to her death from a bridge. In his quest to find out
why Bridget took her own life, he encounters a depressive (and possibly
immortal) cult leader; a man with a car that can drive out of this world
and into others; a beautiful psychotic with a chrome shotgun; and a
bridge that, maybe, leads to heaven. Darrin's journey leads him into a
place called the Briarpatch, which is either the crawlspace of the
universe, or a series of ambitious building projects abandoned by god,
or a tangle of alternative universes, depending on who you ask.
Somewhere in that disorderly snarl of worlds, he hopes to find Bridget
again. . .  or at least a reason to live without her.