These are books that people have heard of, but never really existed.
Examples are:

TheBookOfCountedSorrows

TheKingInYellow

TheNecronomicon

TheBookOfTheThreeImposters

TranscendentalismToday

...there are dozens of others, more obscure. The curious thing, is that people then have written versions of these books to fulfil others' expectations.

"The world of apocrypha is a world of books MADE real... The apocryphal imagination turns 'Tibet' or 'Aegypt' into an amulet or mantram with which to unlock an 'other world'; most real in dreams and books and dreams OF books..." -- Peter Lanborn Wilson

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There is now an online library full of these books:

http://www.invisiblelibrary.com/

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StanislawLem has written at least three books (PerfectVaccuum, ImaginaryMagnitude, and OneHumanMinute) consisting entirely of reviews of nonexistent books (though PerfectVaccuum includes a review of itself). He manages to make these works seem entirely believable, while maintaining a clearly satirical tone throughout. - JayOsako

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This is the first time I have seen the above usage.  In my experience, the term 'apocryphal book' is usually applied to a book that exists, but whose authenticity is denied.  For example, the catholics and protestants disagree about which books make up their bibles.  The catholics include several books (backed by papal decree) that protestants consider apocryphal, and hence call the apocryphia or some such (iirc).
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It's a little more complicated than that. (It usually is, *sigh*.) We have the "deuterocanonical" (second canon) books: Judith, Tobit, 1-2 Maccabees, Sirach, and the Wisdom of Solomon etc., which were written by Greek-speaking Jews a few centuries BCE. They were formally rejected in the 1st century CE by the Council of Jamnia but continued to be used by Christians until the Reformation, when they were rejected again by the Protestants. Nonetheless, you can find them in most modern Bibles, Catholic or no. Or, (Project Gutenberg to the rescue): ftp://ftp.ibiblio.org/pub/docs/books/gutenberg/etext94/apoc10.txt

Then you have writings like the Book of Jubilees or the story of Bel and the Dragon, that are pretty much rejected by everyone.