Too many books to mention. So I'll just mention some of authors who fit the bill as far as "make you think" books. Like many I enjoy the likes of Tom Clancy or Clive Cussler, or Brad Thor or Robert Ludlum, but those are just entertainment for me. Besides religious scripture (Bible and Book of Mormon) Some authors I recommend and my favorites of their works, to get the grey matter working are in no particular order:
George Orwell -1984, Animal Farm
Charles Dickens -Tale of Two Cities, Great Expectations, many others.
C.S. Lewis -Chronicles of Narnia, Space Trilogy, The Screwtape Letters, Mere Christianity
J.R.R. Tolkien -LOTR
Victor Hugo -Les Miserables
Author C. Clarke -2001, 2010
Alexander Dumas -Count of Monte Cristo, Man in the Iron Mask
Ray Bradbury -Fahrenheit 451, Martin Chronicles, Something Wicked this Way Comes
Isaac Asimov -Foundation Trilogy, I Robot
Phillip K. Dick -Do Androids Dream of Electric Sheep, The Penultimate Truth, Minority Report, The Man in the High Castle, A Scanner Darkly
Orson Scott Card -The Worthing Chronicle, the Ender Quartet, Lost Boys, Hart's Hope
Larry Niven -The Draco Tavern (I love the Ringworld series, but it's more pure entertainment)
Lots of other good books, but off the top of my head, these are the ones that made me "think".