Although it doesn't directly apply to any of the subjects you listed, I think that knowing a bit about world history is a good way to make connections in the philosophies of different areas.
[1]http://the10000yearexplosion.com/ [2]http://www.insidehighered.com/news/2005/08/03/ggs
_The Past is a Foreign Country_ by David Lowenthal is a decent book about how historians interpret and rediscover the past. Really, though - read quite a bit, read primary documents, read attempts to synthesize them, and try to draw your own conclusions. I'm not sure I'd recommend any book in particular. (Also, history is often the most interesting when you get really specific. I'm particularly geeked about the history of medicine, but that's me.)