Stumbling on Happiness - Daniel Gilbert Best thing: Not a self-help book :)
It doesn't try to preach, because there aren't many things to preach anyway, only to point out what's wrong with us. And the author does it with charming wit.
In some places, the experiments that he cites to substantiate his points seem inadequate, but that is more than compensated by the perspicacity with which he lays bare the irrationality of the decision we make based on our foresight, imagination and memory, and why they aren't as perfect as we think they are.

Currently reading

The Satanic Verses
Salman Rushdie
The Double and The Gambler
Fyodor Dostoyevsky, Richard Pevear, Larissa Volokhonsky
The Adolescent
Fyodor Dostoyevsky, Richard Pevear, Larissa Volokhonsky
Fight Club
Chuck Palahniuk
How to Read a Book: The Classic Guide to Intelligent Reading
Charles Van Doren, Mortimer J. Adler
Games People Play: The Psychology of Human Relationships
Eric Berne
Zorba the Greek
Nikos Kazantzakis
Chess Master vs. Chess Amateur
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The Clash of Civilizations and the Remaking of World Order
Samuel P. Huntington
Evil Plans: Having Fun on the Road to World Domination
Hugh MacLeod