Two books that I like (which my kids aren't old enough for yet) are Maybe Yes, Maybe No : A Guide for Young Skeptics and Maybe Right, Maybe Wrong : A Guide for Young Thinkers by Dan Barker. These books are probably best for kids between the ages of 7 and 14. People over 14 years old who are superstitious and/or who need a lesson on clear thinking will also learn much from them. The books provide children with some beginning tools for critical thinking. The first tells a story about an event which appears (at least to kids) to have potential supernatural ramifications. When the kids look at the facts more carefully, ask questions, and study the evidence, they find that the answers are actually based on natural events. If your child is afraid of ghosts, monsters, or other non-existent entities then the first book will be a great addition to your library. Even if they aren't, it will help them develop skills to more clearly see the world. The second book will help kids to choose what is right by analyzing situations rather than by blindly following (or disobeying just to be rebellious) a set of preconceived rules.
Along somewhat similar lines as the Barker books above, Jez Alborough has written a fun book for smaller kids called Watch Out! Big Bro's Coming! The story shows, in a very entertaining format, how myths are created and grow through (mis)communication. Your child may, through the principle taught in this book, consider going to the actual source for accurate information rather than rely on hearsay. Even if your youngster is too little to understand the meaning, they will enjoy the pictures and story.
Speaking of myths... Young (and old) readers will learn (and enjoy) much from D'Aulaires' Book of Greek Myths. This one isn't aimed at really little kids. Those over the age of about six or seven may find it to be of interest.
Is it wrong to sneak into the movies if your big brother says it's okay? If everybody is cheating on the math test, shouldn't you too? What if telling the truth gets your best friend in trouble? It's never too early for us to begin talking to our children about values and helping then define and clarify their code of moral conduct. If You Had To Choose, What Would You Do? by Sandra McLeod Humphrey is a great way for them to build self-confidence in their ability to work through everyday problems. The 25 situations presented here and the thought-provoking questions at the end of each scenario have been developed to help you talk to your child about social and moral issues in a natural and non-threatening way. This book provides an entertaining way to learn vital life skills.
Specifically for parents
I haven't yet read Twenty Teachable Virtues: Practical Ways to Pass on Lessons of Virtue and Character to Your Children by Barbara C. Unell & Jerry L. Wyckoff, but I understand it is excellent.
In a few years, I plan on reading How to Discipline Your Six-To-Twelve-Year-Old: Without Losing Your Mind. Discipline Without Shouting or Spanking: Practical Solutions to the Most Common Preschool Behavior Problems is a useful book by the same authors. All three titles come very highly recommended for parents who want to be good parents. Raising Lifelong Learners is another I can't recommend enough.