A.A. Troitzky's "Three Hundred Sixty Brilliant and Instructive End Games" is by far the best book of its kind that I have ever owned. Very subtle, very crafty endgame studies -- many of them very long and complicated, but all of them beautifully constructed and analyzed. Unlike most books of chess puzzles, the positions in this book appear to be reasonably reachable in a real game, but they are all masterfully conceived -- at least, the ones I've had the energy and stamina to follow.