"Freak Show" by F. Paul Wilson is a hard book to find these days. That's a shame because it was one of the best of the shared novels that were popular in the 90s. I'm sure it worked because Wilson kept a tight editorial control over his co authors and he had a compelling backstory and mythology for everyone to work from.
The freak show here may look odd and disturbing, but that is just the surface. The freaks led by Ozymandius are on a quest. A quest that the are told by Oz will give them justice. As they travel through America they stop in various town looking for odd pieces to an even odder machine. The pieces themselves are rather powerful, and have exerted odd influences over their owners.
The book is fairly episodic as one would expect with different authors taking a turn, but it works fine here. Each town a different freak is given a chapter to shine. They are bound by the over all story arc and a sub story where one freak needs to be convinced to be part of the "family," and there's no hope for him in the normal world. The writing is strong and there is some pretty horrific things happening.
Definitely find it if you can.