One of my favorite philosophy books and a must read is this discourse on despair by Soren Kierkegaard. Kierkegaard writes from a Christian perspective about what it means to be a Christian in the face of despair; however, everyone, Christian or not, can benefit from reading this book, and probably the greatest proof of that is that Kierkegaard's writings, although a Christian theologian himself, have influenced existentialism and writers that have defended atheism such as Jean Paul Sartre. Kierkegaard has been considered (if I remember well) a proponent of existentialism if not at least one of the pioneers of existentialism.
A word of caution: On certain passages, Kierkegaard responds indirectly to Hegelian Philosophy that he was opposing. It would be helpful to become familiar with the basic tenets of Hegel's philosophy, but it is not necessary if you want to just get the basic helpful parts of this book as I did.