The Art of Being Right by Schopenhauer

Schopenhauer's essays are really what makes him a good writer, his magnum opus. The ideas in it are quite incredible and very important to understand for the purposes of understanding Nietzsche. I would recommend getting into it that way first. If you spend too much time beating your head against that book, Schopenhauer might actually convince you that life is not worth living because it's such a joyless experience.