I would begin with some of Eliezer Yudkowsky's essays on rationality, particularly "The Simple Truth", "An Intuitive Explanation of Bayes’ Theorem", and "A Technical Explanation of Technical Explanation", and then I'd start flipping through the archives reading things that look interesting. Often-times these will have links, either at the top or in the text, to previous essays; jumping backwards through the sequences and then reading forwards back to where you began is a good method.

That's just for stuff on this site, though - I'd certainly read through the other online essays people linked in this post, and keep my eyes open for library copies of some of the books.