Went to Coney Island on a Mission from God... Be Back by Five 1998

Two young men who have been friends since early childhood decide to go on a trip to find a third friend who has long since disappeared. Stories they have heard indicate that the friend has been seen in an apparently rambling, incoherent state at Coney Island. Their trip leads them to a number of adventures involving the otherworld-like life at the Park and revelations related to their own pasts including the death of one's sister, a failed past relationship, financial failings, and alcoholism.