Differentiating themselves from plain ol' philosophical books, Philosophical novels are works of fiction that, according to Wikipedia, "devote a significant portion of their content to the sort of questions normally addressed in discursive philosophy. These might include the function and role of society, the purpose of life, ethics or morals, the role of art in human lives, and the role of experience or reason in the development of knowledge."
To be fair, some of these works could be classified as Theological, Sociological, Political, and/or Historiographical Novels. Just 'cause it makes you think doesn't make it philosophy, Michael!