I'm into existentialism and zen, so many of these follow those tones. Some, however, do not.
Fictional Stories with Philosophical Under/Overtones:
The Stranger (or other Albert Camus books. I prefer this one.)
The Mysterious Stranger (Mark Twain, and WOW)
Anthem (short) or The Fountainhead (long) by Ayn Rand
Fight Club (Chuck Palahniuk) (Or watch the movie)
Slaughterhouse-Five or Breakfast of Champions (Kurt Vonnegut. Some may dispute this as philosophy, but I say they have some of the profound philosophical themes and phrases I've read.)
Brave New World (Aldous Huxley)
1984 and Animal Farm (George Orwell)
Man's Search for Meaning (Viktor Frankl, actual story of WWII concentration camp survivor)
Essays and non-story form philosophy:
The Myth of Sisyphus (Albert Camus. The first three chapters are amazing. Fourth, not so much.)
The Virtue of Selfishness (Ayn Rand and Nathaniel Brandon. Collection of essays.)
Wage Labour and Capital (Karl Marx)
The Way We Are (Allen Wheelis)
The Socratic Dialogs (Euthyphro and Apology were my favorites. The cave analogy too.)
The Picture of Dorian Gray (Oscar Wilde. Anything said by Henry Wotton in that book. His aphorisms and other quotes are also wonderful.)
The Enlightenment Trilogy (Jed McKenna... I'm currently rereading these. Book 1 is Spiritual Enlightenment: The Damnedest Thing)
I thought about not adding these, but if you're interested in movies...
American Beauty (Self-Deception and Conformity)
Fight Club (Existentialism, Zen, Anarchy, Self-Deception, Conformity)
I Heart Huckabees (Existentialism)
Office Space (Conformity)
Cast Away (Exile and Return)
About Schmidt (Self-Deception and Impermanence)
Magnolia (Gray areas, Self-Deception, Honesty)
Batman: The Dark Knight (Impermanence, Order and Chaos, Conformity)
Hope that halps!