I think books would be much less... Interesting. So much of story telling is the good vs. evil sort of thing and without a clear definition it would be hard to do.
I think the only book that I've read in which the good vs. evil line is blurred would be A Song of Ice and Fire in which the story is told from the POV of a diff character each chapter. It's a many-sided struggle and you get the perspective of each side and so it's hard to know who to root for. You sort of get to pick yourself, it's pretty cool.