I simply love problem books in mathematics, though you have to know how to use them properly. I think they are useful to me because most of time I study on my own. I'm thinking here at MSE, since we have a lot of non-native English speakers including myself, if you know some problem books in your mother tongue that haven't been published yet in English, you can post their titles here.
(To see problem books in English see this question: Problem books in higher mathematics).
The book can be written in any language. I know so many foreign ones, but if I don't know the language of your book, I think it can be useful for another student who knows the language of your book.
I think this question is interesting also because we can see a little bit the mathematical books outside, beyond our English horizons.
To be more precise, undergraduate mathematics books are preferable, such as algebraic topology, analysis, undergraduate algebra, etc...
I will start: