Kuhn's "The Copernican Revolution" and "The Structure of Scientific Revolutions" are both excellent. The first is a very good history of astronomy, the second is a mix of history and Kuhn's views on the philosophy of science. Kuhn, is, as far as I can tell, deeply wrong about the nature of science, but he makes good points and where he is wrong he's wrong for interesting reasons. The Copernican Revolution does a very good job helping one understand just how complicated the history of astronomy is and how often subtle premises can impact scientific investigation even when (or possibly especially when) the premises are not explicitly stated. Alan Hirschfeld's "Parallax:The Race to Measure the Cosmos" is also an excellent book within similar lines.

Darwin's "On the Origin of Species" is still very readable and shows an example of really good thinking even under incomplete data.

I'm trying to get through Priestley's "The History and Present State of Electricity" which is fascinating and gives good thoughts about how to approach thinking (it has gotten I think multiple quotes in the rationality quotes threads here), but the archaic style and grammar makes it sometimes difficult to read.

"Proofs and Refutations" by Lakatos is an excellent and enjoyable look at both the psychology and philosophy behind discovering mathematical proofs.