Most people who are familiar with Schopenhauer know him through the popular essays that T. Bailey Saunders translated and compiled, including the one mentioned in the OP. But these have mostly contributed to give the image of a cranky old fellow that hated women, noise and bad writing, while his unmeasurably more important work remains as an afterthought in philosophical discussion today. A monstruous injustice, given the value of his teachings.
But these popular essays are not without their worth. At least they serve as an introduction to the personality behind them, besides being good for a laugh or two. But any serious student of Schopenhauer should at least approach "The Fourfold Root..." and book one of the "The World as Will and Representation" in order to get a grip of his fundamental doctrine. One must also understand the "Critique of Pure Reason" fairly well before approaching these books, otherwise certain key concepts, such as the ideality of time and space and the deduction of the will as thing in itself, will remain very awkward and unclear. Both philosophers complement each other so well that I can't say who is better, and I think their respective teachings should be taken as one only, since they both correct and clarify each other.
As for Nietzsche...my opinion of him will certainly be unpopular on this forum, so I'll leave it in silence. Lets just say that if you appreciate your time, you'll go for Schopenhauer.