If you are just setting out, here are books I recommend you start with:

A good general introduction to religions:

Smith, Huston. The World’s Religions: Our Great Wisdom Traditions. San Francisco: HarperSanFrancisco, 1991.

Ways to think about the existence of God:

Hart, David Bentley. The Experience of God: Being, Consciousness, Bliss. London: Yale University Press, 2013.

Ruse, Michael. Atheism: What Everyone Needs to Know. New York: Oxford University Press, 2015.

Primary sources for world religions and excellent scholarly commentary:

Miles, Jack, ed. The Norton Anthology of World Religions. New York: W. W. Norton, 2015.

 Origins of ideas and practices concerning the afterlife

How we evolved physically to where we could conceive of life beyond:

Mithen, Steven J. The Prehistory of the Mind: A Search for the Origins of Art, Religion, and Science. London: Thames and Hudson, 1996.

An in-depth study of sociological and anthropological origins of religion:

Bellah, Robert N. Religion in Human Evolution: From the Paleolithic to the Axial Age. Cambridge, MA: Belknap Press of Harvard University Press, 2011.

Darwin’s ideas about the evolution of religion:

Pleins, J. David. The Evolving God: Charles Darwin on the Naturalness of Religion. New York: Bloomsbury Academic, 2013. 

Primal Religions

Robert Bellah’s Religion in Human Evolution

A moving personal account of travel beyond: 

Neihardt, John G. Black Elk Speaks. Lincoln: University of Nebraska Press, 2014.

Accounts of otherworld journeys throughout history:

Couliano, Ioan P. Out of This World: Otherworldly Journeys from Gilgamesh to Albert Einstein. Boston: Shambhala, 1991. 

Zaleski, Carol. Otherworld Journeys: Accounts of Near-death Experience in Medieval and Modern Times. New York: Oxford University Press, 1987.

Ancient Religions

Robert Bellah’s Religion in Human Evolution

A masterful scholarly treatment of early Western ideas:

Segal, Alan F. Life after Death: A History of the Afterlife in Western Religion. New York: Doubleday, 2004.

Judaism

Books by Abraham Heschel, guide to understanding the Jewish faith:

Heschel, Abraham Joshua. God in Search of Man: A Philosophy of Judaism. New York: Farrar, Straus & Giroux, 1955.

———. Man Is Not Alone: A Philosophy of Religion. New York: Farrar, Straus & Giroux, 1976.
———. The Sabbath. New York: Farrar, Straus & Giroux, 1951.

Judaism from Abraham to Kabbalah:

Alan Segal’s Life after Death: A History of the Afterlife in Western Religion

Kabballah and the Zohar:

Dan, Joseph. Kabbalah: A Very Short Introduction. New York: Oxford University Press, 2007.

Matt, Daniel Chanan, trans. Zohar: The Book of Enlightenment. Mahwah, NJ: Paulist Press, 1983.

Christianity 

Exploration of Christian ideas about heaven:

McDannell, Colleen, and Bernhard Lang. Heaven: A History. New Haven, CT: Yale University Press, 1988.

Dante’s Divine Comedy:

Russell, Jeffrey Burton. A History of Heaven: The Singing Silence. Princeton, NJ: Princeton University Press, 1997

Islam

Essential introduction to Islam:

Esposito, John L. Islam: The Straight Path. New York: Oxford University Press, 2011.

Understanding the Islamic afterlife:

Rustomji, Nerina. The Garden and the Fire: Heaven and Hell in Islamic Culture. New York: Columbia University Press, 2009. 

Contemporary Ideas

A guide to scientific efforts to understand spirituality:

Hagerty, Barbara Bradley. Fingerprints of God: What Science Is Learning about the Brain and Spiritual Experience. New York: Riverhead Books, 2010.

A science of religion:

James, William. The Varieties of Religious Experience: A Study in Human Nature. San Bernardino, CA: Renaissance Classics, 2014.