What I like about Bertrand's H.W.P. is he gives a really good impressions of the the philosophers as people and more importantly captures the transitions in thinking. Gives great depictions of Schopenhauer.
I know the UC system here in California uses it for its intro philosophy classes. It's great; I would recommend getting the audio.
I do side with Reconstructo about Nietszche; reading the chapter on Nietszche is simply not enjoyable especially considering Nietszche is so empowering and charismatic to read. What I have enjoyed the most (and I have read all of his work) has to be his 'Essays on Skepticism' and all his essays on morals are wonderful. The most cathartic work that I would certainly recommend to anyone is 'The Conquest of Happiness'.
What I appreciate most about Russells work has got to be his logical insightfulness - this most likely comes from his background in mathematical epistemology.