Post Made Community Wiki by Anton Geraschenko♦♦
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I had a lot of fun skimming through Jim Henle's An Outline of Set Theory. (It's now out of print, but I suspect Springer's Problem Books in Mathematics series has a few more such titles still in print.)

Also, a nice little freebie is Stefan Bilaniuk's A Problem Course in Mathematical Logic.

In a different area, there is Number Theory Through Inquiry by David C. Marshall, Michael Starbird, Edward Odell.

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I remember having had a lot of fun skimming through Jim Henle's An Outline of Set Theory. (It's now out of print, but I suspect Springer's Problem Books in Mathematics series has a few more such titles still in printprint.)

Also, a nice little freebie is Stefan Bilaniuk's A Problem Course in Mathematical Logic.

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