Phil Jourdan has some excellent thoughts on the subject that he posted over on LitReactor.
As you know, I just put up a post on the subject not too long ago. The upshot of his article, as I understand it, is that the transgression is in the ecstatic joy we experience in seeing boundaries pushed against, in seeing order turned to chaos. If I read him right, that's a very interesting concept. Hence our love of Fight Club comes from the destruction wrought by Project:Mayhem on society.
The upshot of my response is that the transgression is, I believe, in the identifying with the protagonist who (according to society) that we are not allowed to identify with. I think we like Fight Club because we identify with the nihilist terrorist, Tyler Durden (which, as I understand it, is Jourdan's next focus).
Do you read transgressive lit other than my novel? If so, what do you think on the subject?