Comment Try Borges's short stories (Score 2) 278
While not often directly mathematical, several of Jorge Luis Borges's short stories are interesting efforts on his part to grapple philosophically with many of the concepts of infinity: The Library of Babel most famously, but also great stories like The Book of Sand, The Aleph, and even Death and the Compass. They won't necessarily tickle you in the same way that Stephenson's work did, but they're still a fine jumping-off point into fascinating and deeply philosophical mathematics.