Have you looked at the Art of Problem Solving books? They are problem based as the name suggests - each section starts with a sequence of problems, which the reader is instructed to try seriously before reading on. Those problems are then explained in the text, and then there are others. We haven't seriously used these yet but I like the look of them.
There are also loads of math problem sites on the web - often without immediately accessible solutions, which is good :-) Try
http://nrich.maths.org/public/ for example.
I also recommend Descartes' Cove
http://www.cty.jhu.edu/ctyonline/cove/index.html
