I started reading philosophy a couple months ago because regular stories were starting to bore me, and I wanted something deeper. Here's what I've read:
Thus Spake Zarathustra
Beyond Good and Evil
The Geneology of Morals
Human, All Too Human
The Antichrist (Here and above are all by Friedrich Nietzsche)
Several books by Voltaire. I bought the Complete Works, so I don't really remember the names of them all off of the top of my head.
A few not-really-philosophy, but old and deep books that I've read are The Divine Comedy by Dante Alighieri (The Inferno, Purgatorio, and Paradisio), Faust by Goethe, Julius Caesar, Hamlet, Romeo and Juliet, Taming of the Shrew <-- all by Shakespeare.