For the philosophy of Mathematics side, rather than the set theory side, I'd suggest: Philosophy of Mathematics: Selected Readings; by Benacerraf & Putnam From Frege to Godel: A Source Book in Mathematical Logic; edited by Jean van Heijenoort Logic, Logic, and Logic; by George Boolos Fixing Frege; by John Burgess Foundations without Foundationalism; by Stewart Shapiro New Waves in the Philosophy of Mathematics; edited by Linnebo and Bueno For their historical interest: Foundations of Arithmetic; by Gottlob Frege An Introduction to Mathematical Philosophy; by Bertrand Russell One book on the set theory side that I can recommend: Set Theory and its Philosophy; by Michael Potter