I read Halmos' excellent Problem Book on Linear Algebra, which serves as a self-contained textbook for beginners, but turns every major result into a problem, thus forcing the reader to think along the way, almost to construct Linear Algebra himself.
Can somebody give me a list of textbooks in this style, but on different topics (analysis and algebra in particular)? Thus far I cannot find any.
Here are two recommendations. Although the first is not a dedicated problem book it might nevertheless come close to your expectations and it is connected with the second recommendation.
This book addresses especially what you stated as forcing the reader to think along the way, almost to construct Analysis himself.
The problems in this book are stated as exercises and they do not just form some kind of appendix, but are a dominant, integral part of each section. So, you are challenged all along by hundreds of examples and exercises when doing this radical approach.