Reddit mentions of Great Short Works of Leo Tolstoy (Perennial Classics)

To this day there is still no greater book for opening up the world of thought than Will Durant's The Story of Philosophy. This book is indispensable.

Aside from that the best advice, as many here have noted, is to simply read widely and often. Here are some other books I can personally recommend as being particularly insightful:

• Wind, Sand and Stars
  
• Einstein's Dreams
  
• Family Happiness
  
• Borges
  
• Kafka
  
• Tao Te Ching
  
• Book of Job
  
• The Stranger
  
• Prometheus Rising
  
• Shakespeare

I personally prefer Tolstoy. I wasn't a huge fan of Crime and Punishment either though most Russians will [correctly] tell you that Crime and Punishment is not his best, and that you need to read The Idiot or Notes From the Underground before making a judgement on Dostoevsky. It also helps to find a good translation (Pevear & Volkhonsky are probably the best Russian>English literary translators ever to live), and to realize that Crime and Punishment was published in serial, while Dostoevsky was essentially broke, so he was stretching it a little as he was getting paid by the page.

I find that Tolstoy tends to make his characters feel a little more real, and that they tend to whinge at least slightly less about things. Probably the best place to start is to find a copy of Great Short Works of Leo Tolstoy, and to pick through it. The Death of Ivan Ilyich, and Hadji Murat are probably my favorites.

The thing a lot of people find rough about Tolstoy is that he has a pretty clear religious (though certainly not evangelical) and philosophical agenda is some of his works (he basically renounced worldly possessions and lived as a farm owner), and while it gives some of his characters great depth, the meta-physics can go on for a while. I find War and Peace is guilty of this in a few places (though still an amazing read, if you have the time).