I've been using the Art of Problem Solving series as supplemental readings throughout my A-levels(which is the equivalent of high school), and found them to be extremely helpful and informative, both in terms of the difficulty of their exercises(which is just right for me) and their styles/expositions.
Now I'm at the 2nd year of my degree and I do miss those AoPS books a lot, I wonder is there any undergraduate equivalent to them that presents materials with a series of problems and leads readers to prove the theorems themselves step by step?
You could check out the Linear Algebra Problem Book by Halmos. From the description: