The Chronicles of Narnia are a great series! The stories are very engaging and also integrate good morals. There are also some old school ones mystery series that I loved growing up: Nancy Drew, The Hardy Boys, The Boxcar Children, Encyclopedia Brown. These are all great for teaching problem-solving skills... you can make a game out of trying to "solve the mystery" before the main characters. The Alice & Wonderland series has good imagery and is great for the imagination. It's been a while since I've read them though - they may be more appropriate for kids that are a little older.
Reply to What are good story books to read to a 4 and 5 year old?