this book by Sam Loyd, you simply must. Loyd was America's first great puzzler. For each puzzle he created a story with a charming drawing.
My only complaint is that to advance, one must either be perfect at solving these puzzles, in order to collect chickens (points) or watch a lot of ads to add more chickens. At the moment I'm thinking of a certain dexterity puzzle that I think is impossible to solve at the minimum speed. But dexterity's never been my primary skill.
Baffles Classic Puzzles is definitely a fine introduction to the general World of Puzzles