Bryan Magee's book on Schopenhauer.
German Idealism/The Fate of reason by Fredrick Beiser.
Hegel and the Hermetic Tradition by Glenn Magee
Kant's Transcendental Idealism: An Interpretation and Defense by Allison
Plato: Complete Works by John Cooper is good
The Paidea series by Jaeger is amazing as is the four volume collection by Giovanni Reale if you're interested in ancient philosophies (like me)
-----------
The 'phenomenological' school is considered important.
Making Sense of Heidegger by Sheehan
Merleau-Ponty's Philosophy by Hass
However I think most true Western thought is to be found in the great works of literature. Ovid/Dante etc. try reading Howard Blooms work "The Western Canon".
Personally I find most western philosophy quite turgid.
I'm a big fan of Socratic philosophy, and there's two main sources for this, Xenophon and Plato.
Xenophon's main Socratic work is traditionally titled The Memorabilia and there are two older translations available online, The Memorable Thoughts of Socrates (Henry Morley) and The Memorabilia (H.G. Dakyns). The latter has footnotes and is probably the better translation but the former might be a little easier to read, but they're both pretty old. A good modern option is Conversations of Socrates (Hugh Tredennick/ Robin Waterfield) which includes all of Xenophon's Socratic works (and useful footnotes). My advice is to try and not take the somewhat moralistic tone of Xenophon too seriously.
All of Plato's dialogues that are generally agreed to be authentic are available for free online, per the old but very readable translations of Benjamin Jowett. Everything attributed to Plato is contained in Plato Complete Works (John M. Cooper). Plato Collected Dialogues (Edith Hamilton and Huntington Cairns) has all of the authentic dialogues plus a few others. The Last Days of Socrates (Hugh Tredennick, I think revised by Robin Waterfield) has the four relevant Platonic dialogues (including Apology {"Socrates' Defense"} which might be the best record of things Socrates actually said.)
The Republic is available on the Perseus Tufts website with lots of good footnotes. I happened to have read Allan Bloom's translation and it has lots of good footnotes and interesting observations too, though I think his opinions may have been somewhat outside those of mainstream scholarship.
Also the third century AD/CE Lives and Opinions of Eminent Philosophers (Diogenes Laertius) is interesting and quite readable (though I haven't read all of it) and could serve as a (dated) introduction to ancient Greek philosophy itself.