Hyperfiction is a piece of writing consisting of mere bits or whole chapters linked with each other, creating a non-linear text. This fairly experimental way of writing is mostly done on-line, using the advantage of hyperlinks.
A form similar to hyperfiction is sometimes used in comics, leaving the reader to multiple-choice himself through a prescripted story. This is also a common feature of RPGs such as Deus Ex, which let the player decide on the ending.
For examples see http://hyperfiction.org/